Economic Analyses of Rational Expectation Hypotheses and Japanese Economy

在过去的十年里，带有理性预期(RE)假设的计量经济学分析对美国经济进行了大量的分析，而对日本经济的分析却并非如此。本文对时间序列计量经济学中的RE假设的一些理论问题进行了研究。例如，山本的定阶问题，Anderson-Takemura的MA问题的单位根等。K.Morimune和Y.Tsukuda撰写的几篇论文强调了计量经济学模型中的估计和检验问题。在谈到对日本经济的实证研究时，T.Yamamoto研究了汇率假设在外汇市场中的经验相关性。F.Hayashi使用日本的数据，用RE假设写了几篇关于消费函数和投资函数的论文。他还就RE假设下消费函数的最新发展写了一份批判性的调查。

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.