The export-output growth nexus in Japan: a bootstrap rolling window approach

Balcilar M., ÖZDEMİR Z. A.

EMPIRICAL ECONOMICS, vol.44, no.2, pp.639-660, 2013 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 44 Issue: 2
  • Publication Date: 2013
  • Doi Number: 10.1007/s00181-012-0562-8
  • Journal Name: EMPIRICAL ECONOMICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.639-660
  • Keywords: Export-led growth, Output-driven export, Bootstrap, Time-Varying Causality, ECONOMIC-GROWTH, DEVELOPING-COUNTRIES, LED GROWTH, VECTOR AUTOREGRESSIONS, STATISTICAL-INFERENCE, PARAMETER INSTABILITY, EMPIRICAL-EVIDENCE, CAUSALITY, TRADE, COINTEGRATION
  • Ankara Haci Bayram Veli University Affiliated: No

Abstract

The purpose of this article is to examine the export-output nexus in Japan by taking into account the time variation in the causal link with bootstrap Granger non-causality test and rolling estimation. The data used cover the seasonally adjusted real export and real Gross Domestic Product (GDP) for the 1957:1-2009:1 period. Standard Granger causality tests indicate no causality between export and real GDP series. On the contrary, full sample-modified Granger causality tests based on bootstrap, which are applicable irrespective of integration-cointegration properties of the data, indicate a bi-directional causal link between exports and real GDP. Accordingly, export growth should be an important factor behind Japan's high-economic growth in the last three decades. Using parameter stability tests, we show that these results are not uniform for different sample periods and results vary due to structural changes. Using bootstrap rolling window estimation, we find that there is a positive bi-directional predictive power from the mid 1970s to the late-1980s between the series, while from the late 1990s to 2009 there is a positive predictive power only from export growth to output growth.