Money Demand in Japan and Nonlinear Cointegration
用两种非线性函数形式估计日本长期货币需求函数，允许流动性陷阱存在，并与标准对数函数比较。非线性形式在样本外预测中表现更优。
We estimate the long-run Japanese money demand function in a cointegration framework with two nonlinear functional forms that allow for the liquidity trap, and compare the results with the standard log-level functional form. In addition to the conventional linear cointegration techniques, we also use a recently developed procedure for nonlinear cointegration that allows the estimation of alternative functional forms under the same assumption regarding the trend properties of the nominal interest rate. The nonlinear functional forms outperform the log-level functional form based on out-of-sample prediction performance.