The Japanese stock market and the macroeconomy: An empirical investigation

Manabu Asai*, Tsunemasa Shiba

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


We investigate the relationship between macroeconomic variables, such as the industrial production index, interest rate and inflation rate, and the stock market, using Toda and Yamamoto (1995)'s vector autoregressions (VAR) specification. The major findings are: (1) macroeconomic variables do Granger cause the stock market variable, while reverse is not so clear. (2) The lagged stock market variable affects its current value but its impact tend to diminish in the long-run. Policy implication we draw is that the price keeping operation by the Japanese government would not work, but appropriate macroeconomic policies would benefit not only the real market but also the stock market.

Original languageEnglish
Pages (from-to)259-267
Number of pages9
JournalFinancial Engineering and the Japanese Markets
Issue number3
Publication statusPublished - 1995 Oct
Externally publishedYes


  • Causality
  • Macroeconomic Variables
  • PKO
  • Stock Price
  • Toda-Yamamoto VAR

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)


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