日本经济发展与中日贸易的经济计量分析

基于向量自回归经济计量模型,分析中日贸易与日本经济发展的长期关系和因果关系等 问题. 将多变量时间序列间的单方向因果测度理论应用于中日两国宏观经济的实证分析,从因 果关系角度揭示了7 个主要宏观经济指标间长短期关系及相互作用机制,并从经济计量学的 角度阐明了在过去20 年中日经济发展的互补关系.

Econometric analysis of international trade between Japan and China

Based on econometric vector auto2regression model , this paper mainly investigated the long2run and short- run as well as causal relationships of international trade between China and Japan. We apply the Wald test ap2 proach of one-way effect causal measures presented by Yao and Hosoya (2000) to analyzing seven selected macroe2 conomic data of China and Japan over the span of the recent twenty years. We showed how the Wald test is put into the analysis of macroeconomic activities and how to interpret empirical evidence in view of the causal measures. Based on the observed one-way effect causal measures in cointegrated vector time series , the characterizations of causal structure among the selected economic indices are revealed. It was showed that Japanese interest rates in gen2 eral cause the other variables but not the other way around. The external trade causes monetary economy but not in the other direction. Even so , the monetary economy causes the imports from China. As for the effects of external trades to Japanese economic growth , the cause is mainly from exports but it is not long- run. The imports from China do not affect Japanese economic growth. The empirical results support the common understanding that the economic development of Japan and that of China are cooperative in the period we dealt with , at least in the meaning of inter2 national trade. We can see the Wald test of one-way effect causal measure provides an efficient approach to analyz2 ing complex economic system