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The paper investigates the revenue-expenditure nexus in the case of Japan by using five variables of revenues and four variables of expenditures. The techniques to analyze the causal relationship depe...nd on the properties of the series. This paper utilizes three kinds of approaches; a VAR model setting by adding the extra lags, which is provided by Toda and Yamamoto (1995), a differenced VAR modeling, where there is no cointegrating relationship between non-stationary series, and a threshold error correction specification, which is proposed by Enders and Siklos (2001). It is found that when we focus on the total expenditures excluding debt services and the total revenues excluding bond issues respectively, there is no causal relationship between them and the institutional separation hypothesis is supported in Japan. However, the expenditures excluding debt services Granger cause bond revenues. Especially regarding expenditures for social security and pensions, there exists the bidirectional causality between bond revenues and them. However, there is no causality that runs from expenditures for social security and pensions to tax revenues though there exists the causality that runs expenditures for public works to tax revenues. In addition, it is not observed such causality that when tax revenues increase, bond issues decrease. Therefore it concludes that the reason for accumulating the debt outstanding of the central government in Japan would be the increase in expenditures for social security and pensions by aging of Japanese society without taking account of the level of the revenues. Furthermore, when more controllable variables are set as expenditures like the national land conservation and development, it is found that the MTAR setting is statistically chosen, asymmetries in the adjusting process of the deviation from the long-run equilibrium is found, and in the case of worsening changes of budget deficits the adjustment process works well to avoid the deficit crisis. But it seems to unsustainable, since deficits are reduced by utilizing non-tax revenues in Japan.続きを見る
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