Abstract
A vector autoregressive model(called VAR model) is constructed to investigate the behavior of GNP in Japan which is influenced by several important economic variables and real economic activity. The system model is expressed by
x(t)＋A0x(t)＋A1x(t－1)＋…＋Akx(t－k) ＝ε(t)
where x is a vector with 5 variables; call rate, real money(m/p), money, real GNP and exchange rate. The unit root and cointegration are checked in association with stationarity of the system. In addition, candidates for variables in a model are checked by Granger's causality test. Responses of the each element of the x-process to shocks ε are considered under the condition such that A0 is a non-zero matrix. In order to identify the matrix A0 , structural restrictions are imposed on A0 from the economic point of view. Such a system is called ”a structural VAR model”. Impulse responses are shown from the identified model.
