Author:
Kawakatsu Hiroyuki,Oliver Mikiko
Abstract
Purpose
This study aims to examine the relation between population composition and financial market variables in post-war Japan.
Design/methodology/approach
Cointegration and Granger causality tests are applied to annual data for the period 1948-2015.
Findings
Accounting for nonstationarity, this study finds long-run equilibrium relations between real financial price (stock and house) indices and the proportion of population in the prime earning (45-64) or retirement (65+) age. Granger causality tests that account for possibly nonstationary variables find some evidence of dynamic causation running from the 45-64 cohort to the real financial price indices. No such evidence is found for the 65+ cohort.
Originality/value
This study complements the existing literature primarily based on US data with analysis of Japanese data that has some unique population composition features.
Subject
General Economics, Econometrics and Finance
Cited by
2 articles.
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