Economic Analyses of Rational Expectation Hypotheses and Japanese Economy

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Econometric analyses with rational expectations (RE) hypotheses have been voluminous for the U.S. economy in the last decade, while it is not the care for the Japanese economy. There are still a number of theoretical problems in econometric analyses with RE hypotheses.We investigated some theoretical issues with RE hypotheses in time series econometrics. For instance, the order determination problem by Kunitomo - Yamamoto, the unit roots in MA problem by Anderson - Takemura, and others. Several papers written by K. Morimune and Y. Tsukuda forcussed on the estimating and testing problems in econometric models. Turning to the empirical studies of the Japanese economy, T. Yamamoto investigated the empirical relevance of a RE hypothesis in the foreign exchange markets. F. Hayashi has written several papers on the consumption function and investment function with RE hypotheses using Japanese data. He also wrote a critical survey on the recent developments in the consumption function under RE hypotheses.