Japanese Effective Exchange Rates And Determinants PDF Download
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Author | : Mr.Jun Nagayasu |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 1998-06-01 |
Genre | : Business & Economics |
ISBN | : 1451850859 |
Download Japanese Effective Exchange Rates and Determinants Book in PDF, ePub and Kindle
This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.
Author | : Mr.Bankim Chadha |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 1996-11-01 |
Genre | : Business & Economics |
ISBN | : 1451855338 |
Download Real Exchange Rate Fluctuations and the Business Cycle Book in PDF, ePub and Kindle
This paper analyzes the relationship between the real exchange rate and the business cycle in Japan during the floating rate period. A structural vector autoregression is used to identify different types of macroeconomic shocks that determine fluctuations in aggregate output and the real exchange rate. Relative nominal and real demand shocks are found to be the main determinants of variation in real exchange rate changes, while relative output growth is driven primarily by supply shocks. Historical decompositions suggest that the sharp appreciations of the yen in 1993 and 1995 and its subsequent depreciation can be attributed primarily to relative nominal shocks.
Author | : Mr.Ronald MacDonald |
Publisher | : International Monetary Fund |
Total Pages | : 38 |
Release | : 1995-06-01 |
Genre | : Business & Economics |
ISBN | : 1451847580 |
Download Asset Market and Balance of Payments Characteristics Book in PDF, ePub and Kindle
In this paper we use an exchange rate model that combines asset market characteristics with balance of payments interactions to examine the nominal effective exchange rates of the German mark, Japanese yen, and U.S. dollar for the recent experience with floating exchange rates. Our approach may be interpreted as one which attempts to flesh out the missing links that arise in conditioning an exchange rate solely on relative prices, as occurs in a standard PPP analysis. In contrast to much other empirical exchange rate modeling, our approach explicitly involves the use of a current account sustainability term. Amongst the findings reported in this paper are: significant, and sensible, long-run relationships for all of the currencies studied; appealing short-run dynamics for two of the currencies; and a finding that the Japanese effective exchange rate closely tracks the long-run exchange rate defined in this paper.
Author | : Paul A. Nitkowski |
Publisher | : |
Total Pages | : 66 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Determinants of the United States Dollar and the Japanese Yen Exchange Rate Book in PDF, ePub and Kindle
Author | : Ronald MacDonald |
Publisher | : Springer Science & Business Media |
Total Pages | : 353 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 9401144117 |
Download Equilibrium Exchange Rates Book in PDF, ePub and Kindle
How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.
Author | : William H. Branson |
Publisher | : |
Total Pages | : 55 |
Release | : 1981 |
Genre | : Econometrics |
ISBN | : |
Download Macroeconomic Determinants of Real Exchange Rates Book in PDF, ePub and Kindle
This paper presents a model that integrates money, relative prices, and the current account balance as factors explaining movements in nominal (effective) exchange rates. Thus money and the current account are the proximate determinants of changes in real (effective) rates. The basic model is first analyzed under static expectations. It is an extension of Branson (1977) to include explicitly exogenous disturbances to the current account. Next, rational expectations are introduced, and it is shown that the nominal (and real) rate should be expected to jump instantaneously in response to new information or "innovations" in money, the current account, and relative prices. The model is applied to the quarterly data on effective exchange rates, relative prices, money and the current account for four countries--the U.S., the U.K., Germany and Japan -- since 1973. First the time-series properties of the data are described. All are approximately first-order autocorrelations except all relative prices and Japan's effective exchange rate and current account balance. These are second-order autocorrelations. Then vector autoregressions (VARs) are estimated among the four variables for each country. The residuals from these equations are the "innovations" in the data -- the current movements not predicted by the past. The correlations amongst these innovations are consistent with the theory. Thus the broad conclusion from the paper is that the theoretical model which integrates money, the balance on current account and relative prices, is consistent with movements in these variables since 1973. Real exchange rates adjust to real disturbances in the current account, and time-series innovations in the current account seem to signal the need for adjustment
Author | : Mr.R. B. Johnston |
Publisher | : International Monetary Fund |
Total Pages | : 39 |
Release | : 1997-08-01 |
Genre | : Business & Economics |
ISBN | : 145185210X |
Download Some Evidenceon Exchange Rate Determination in Major Industrial Countries Book in PDF, ePub and Kindle
This paper examines the role of long-run monetary and cyclical factors in determining exchange rate movements. Results of empirical study using a data set that includes Canada, Germany, Japan, the United Kingdom, and the United States support the view that exchange rate movements can be explained by the efficient or rational adjustment of foreign exchange markets to economic fundamentals. In the long run, the exchange rate is determined consistent with a monetary approach to exchange rates, while cyclical factors have an impact on short-run exchange rate dynamics. Estimated equations outperform random walk models of exchange rates.
Author | : Mr.Hamid Faruqee |
Publisher | : International Monetary Fund |
Total Pages | : 48 |
Release | : 1994-08 |
Genre | : Business & Economics |
ISBN | : |
Download Long-Run Determinants of the Real Exchange Rate Book in PDF, ePub and Kindle
This paper examines the long-run determinants of the real exchange rate from a stock-flow perspective. The empirical analysis estimates a long-run relationship between the real exchange rate, net foreign assets and other factors affecting trade flows. Using postwar data for the United States and Japan, cointegration analysis supports the finding that the structural factors underlying each country’s net trade and net foreign asset positions determine the long-run path for the real value of the dollar and the yen. The empirical analysis also provides estimates for the underlying stochastic trend in each real exchange rate series.
Author | : Menzie David Chinn |
Publisher | : |
Total Pages | : 3 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Long-run Determinants of East Asian Real Exchange Rates Book in PDF, ePub and Kindle
Author | : Mr.George S. Tavlas |
Publisher | : International Monetary Fund |
Total Pages | : 61 |
Release | : 1991-01-01 |
Genre | : Business & Economics |
ISBN | : 1451930992 |
Download The Japanese Yen as an International Currency Book in PDF, ePub and Kindle
The role of the Japanese yen as an international currency is assessed. It is found that the determinants of international-currency use imply some increase for the yen’s use in international finance; however, the implications for the yen’s use in international trade are mixed. It is also shown that, despite Japan’s emergence as the world’s largest net creditor nation, Japan’s capital outflows have not significantly facilitated the yen’s internationalization. Data are presented showing that, although the yen’s use as an international currency has increased, it is still rather modest. Wider use of the yen as a regional currency in Asia has occurred, though a “yen-zone” does not appear to be emerging.