The causality between budget deficit and interest rates in Japan: an application of time series analysis

Autor:	Benjamin S. Cheng
Rok vydání:	1998
Předmět:	Causality (physics) Macroeconomics Economics and Econometrics Deficit spending Cointegration Granger causality media_common.quotation_subject Economics Econometrics Time series Interest rate media_common
Zdroj:	Applied Economics Letters. 5:419-422
ISSN:	1466-4291 1350-4851
Popis:	Applying the Engle-Granger two-step procedure, this study finds that neither budget deficits, short-term interest rates and prices in one model nor budget deficits and longterm interest rates in the other model are cointegrated in Japan. Moreover, this study finds no causality between budget deficits and long-term interest rates but detects feedback causality between budget deficits and short-term interest rates in Japan using Hsiao's version of the Granger causality method with the aid of cointegration.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c83501ed20ca5495f04e38a87d045b8b https://doi.org/10.1080/135048598354546 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.