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This article examines whether specified macroeconomic and macro-financial market variables innovations carry risks that are rewarded in the Japanese stock market by a restricted nonlinear multivariate regression model. We find that not all macroeconomic variables priced in the United States are priced in Japan. In addition, we also find, for the first time, that two additional macro-factors, namely the innovations in money supply and in gold and foreign exchange reserves, are strongly priced in Japan. Furthermore, neither market portfolio nor oil price variables are priced separately, as with the evidence from the United States. However, differently from previous US results, we find that innovations in aggregate real per capita consumption are weakly priced in Japan.
