Naoko Hamori

Stability of the money demand function in Germany

This paper empirically analyses the stability of the money demand function in Germany. Important results may be summarized as follows. There was a stable relationship between money supply and real economic activity, and the money demand function was stable prior to German re-unification. The stability of money demand tends to be rejected, however, when the sample period is extended to cover German re-unification. When the stability of parameters was checked to confirm the occurrence of a structural change, it is evident that such a change did occur around 1990.

An empirical analysis of economic fluctuations in Japan: 1885–1940

Abstract This paper analyzes economic fluctuations in Japan’s economy before World War II using the vector error correction model. It is found that causality from the real sector to the monetary sector can be observed but not vice versa in those years of Japanese economy.

An empirical analysis of real exchange rate movements in the euro

This study uses a long-run Structural Vector Autoregressive (SVAR) approach to identify the sources of real exchange rate fluctuations in the euro. The empirical results indicate that real shocks play a dominant role in explaining the real exchange rate fluctuations in the euro. This implies that the best approach for policymakers toward improving the competitiveness of the EU is to focus on improvements in the real economy, such as improvements in efficiency, technologies and productivity.

Introduction of the Euro and the Monetary Policy of the European Central Bank

The Euro area is an extremely unique and important currency area for two reasons. First, it is the single largest currency area to be created in an industrialized region and is important as a test case for regions contemplating the establishment of new currency areas, such as East Asia and North America. Second, it was established by sovereign states working as peers, which, despite various challenges, peacefully and autonomously decided to create a single currency area. Marking the 10th anniversary of the creation of the European Central Bank (ECB) and the Euro, this invaluable book analyzes the monetary policy of the ECB — the guardian of the Euro — by using recently developed econometric methods. The analysis performed in this book marks a substantial contribution toward understanding the significance of the Euro area as well as the future of the Euro from an international perspective.

International term structure of interest rates in the Euro area

This article empirically analyses the international term structure of interest rates in the Euro area over the period from 1999 to 2006. To address the small sample problem, we apply the nonstationary panel data analysis to two data sets: (1) seven countries (Belgium, Finland, France, Germany, Italy, the Netherlands and Spain) from 1999 to 2006 and (2) eight countries (Belgium, Finland, France, Germany, Greece, Italy, the Netherlands and Spain) from 2001 to 2006. Our results support the expectations theory of the term structure of interest rates.