摘要
考察了日元兑美元实际汇率与日本出口、进口、贸易余额和GDP之间的短期与长期Granger非因果关系。对1976～2007年的时序数据进行协整检验的结果表明:多个变量之间存在长期均衡的协整关系;基于误差修正模型的Granger非因果关系检验进一步发现日元实际汇率与出口以及与GDP的长期Granger因果关系是双向的。上述经验性证据意味着模型系统存在正反馈效应和路径依赖机制,并为日本何以在萧条中迷失了10年之久提供了一种新的解释。
This paper tests short - run and long - run Granger non - causality between real exchange rate of Yen/Dollar and a selected family of variables including Japan＇a export, import, trade balance and GDP. Using time series data from 1976 - 2006, cointegration tests indicate the existence of long -run equilibrium （cointegration） relationships. Granger non - causality tests based on vector error correction models provide further empirical evidence that there are bidirectional long- run causal relationships between Yen and export as well as between Yen and GDP. The positive feed back effects and a path - dependence mechanism behind these empirical evidences may offer a new explanation for the ＂lost decade＂ of Japan.
出处
《现代日本经济》
CSSCI
2009年第6期30-34,共5页
Contemporary Economy OF Japan
基金
教育部人文社会科学重点研究基地重大项目"中日韩循环经济发展研究"(2006JDXM100)
