Title
Consumer behavior in Japan and its structural change: Re-examination by sup-predictive test
Abstract
Intertemporal elasticity of substitution (IES) is an important macroeconomic
parameter that relates the real interest rate to consumption and thereby
aggregate demand. In this paper, we estimate IES in Japan following Ogaki
and Reinhart's two-good model. And given that Japanese economy stagnated
over the last decade, we perform the test for a possible break in the IES.
@Our empirical investigation shows that structural shift of IES occurred
in 1997:Q1 and that the IES became insignificant. The results show that
the consumption expenditure became less elastic to the call rate, and suggests
that the effect of monetary policy to consumption diminished.
Keywords: durable consumption goods, non-durable consumption goods, co integration, Intertemporal and intratemporal elasticity of substitution, sup-predictive test
JEL classification code: E20, E29
Masafumi KOZUKA
Research Institute for Economics and Business Administration
Kobe University
Rokkodai-cho, Nada-ku, Kobe
657-8501
Japan
Phone: (81) 78 803 7036
Fax: (81) 78 803 7059