Shigeyuki Hamori

Testing for a unit root in the presence of a variance shift1

Abstract This paper examines the effects of shifts in variance on the unit root test. The limiting distribution of the test statistic is derived, and Monte Carlo experiment evidence on the finite sample is provided. This paper shows that the limiting distribution of the standard unit root test is not invariant to changes in variances. The results are supported by Monte Carlo experiments.

Test of C-CAPM for Japan: 1980-1988

Abstract This paper empirically analyzes the C-CAPM for the Japanese assets market. The results calculated in this paper is totally different from the results in the existing literature. The model is accepted at the conventional significance level and the estimated parameter values are also reasonable. These results show that C-CAPM is a useful model in order to analyze the assets market in Japan.

How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data

This article examines, empirically, whether financial deepening has contributed to poverty reduction in India. Using unbalanced panel data for 28 Indian states and union territories covering seven time periods (1973, 1977, 1983, 1987, 1993, 1999 and 2004), we empirically analyse whether financial deepening has any effect on poverty. Empirical results clearly indicate that financial deepening significantly decreases poverty, controlling for international openness, inflation rate and economic growth. These results are robust to changes in the poverty ratios in rural areas, urban areas and the whole economy.

International transmission of stock prices among G7 countries: LA-VAR approach

The reported study analysed interdependence among stock prices in G7 countries using the LA-VAR method. Monthly data for the period from December 1969 to May 1995 were used and stock prices were analysed not only in local currencies but also in US dollars. The study revealed that the causal relationship between US stock prices and those in the rest of the world is significant. This may be due to the dominant influence of the US economy on the world market.

An empirical analysis on the stability of Japan's aggregate import demand function

Abstract This paper empirically analyzes the stability of the Japanese import demand function based on the concept of cointegration. The standard cointegration tests and the test developed by Gregory and Hansen (1996) are performed. These empirical results do not support the presence of a stable cointegrating relation among real GDP, real imports and relative import prices. Thus, we cannot say that there is a stable import demand function in Japan during the period analyzed. As a result, stimulation of domestic business conditions in Japan will not necessarily link to the quantity of imports. This is an important finding from the viewpoint of Japanese economic policy.

Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan

Abstract This paper presents an empirical analysis of the volatility of real growth rates for the United States, the United Kingdom and Japan. Three ARCH-type models (GARCH, T-GARCH and E-GARCH) were estimated utilizing the maximum likelihood method. The GARCH version provided the best statistical fit, suggesting that volatility is variable and is symmetric than asymmetric to real growth rates in GDP.

Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’

This article investigates the causal relationships between gold and stock market performance or uncertainty by employing nonuniform weighting cross-correlations. In our sample period covering the last decade, we detect a unidirectional causality in mean from stock to gold, but find no causality in variance between the two. For subsample periods divided into pre- and post-current financial crisis, although we detect bidirectional causality in mean for the first sample period, there exists only a unilateral causality in mean and variance from stock to gold for the second sample period. These findings imply that flight-to-quality has occurred during the recent financial turmoil.

Alternative characterization of the volatility in the growth rate of real GDP

Abstract This paper has investigated an alternative characterization of the volatility in the growth rate of real GDP for Japan, UK and USA. A regime-switching approach has been explored to model the volatility process in the growth rate of real GDP. It has been motivated by recent evidence of change in the variance in GDP growth rate [Am. Econ. Rev. 90 (2000) 1464]. Using a Markov switching specification with two states, it is found that the model does a credible job in capturing the different episodes. The residual diagnostics are all supportive of the proposed specification. The economic intuition behind different volatility regimes is also given in addition to the slightly different behavior of these three OECD members.

Seasonal cointegration and the money demand function: some evidence from Japan

The stability of the Japanese money demand function is empirically analysed employing the notion of seasonal cointegration. It is found that money balances, interest rates, and real GDP have unit roots in different cycles. The seasonal cointegration tests reveals that seasonal cointegration is rejected in every case. This fact indicates that no stable relationship exists between money supply and the real economy during the period under analysis.

Solution to the Dilemma of the Migrant Labor Shortage and the Rural Labor Surplus in China

Since 2003, Chinas labor market has been facing two coexisting crises: a rural labor surplus and a severe shortage of migrant labor. Using data from the 2000 China Health and Nutrition Survey questionnaire, which covers 288 villages in 36 counties, this paper attempts to find a solution to this dilemma. Specifically, a multinomial logit model, a Mincer-type model and a probit model are applied to examine the effect of educational level on the employment choices for rural laborers, and on the wages and the employment status of migrants. Based on the results of our analysis, we propose the implementation of policy aimed at increasing the educational level of rural dwellers, in conjunction with other policies to eliminate all artificial barriers, to facilitate the migration of rural laborers.