TESTS OF THE RATIONAL EXPECTATIONS-NATURAL RATE HYPOTHESIS FOR THE JAPANESE ECONOMY: 1886-1944

抄録

Several implications, including those regarding regime change, derived from the equilibrium business cycle models, were applied to evidence from the two pre-war regimes. The neutrality hypothesis was not rejected for both regimes and a comparison of the results was in favor of the Lucas hypothesis on the slope of the Phillips curve. However, some discrepancy concerning the Sargent-Neftci hypothesis remained. Furthermore, the Pesaran test revealed a limitation of the Barro's testing procedure.