THREE ALTERNATIVE HYPOTHESES ON THE YEN-DOLLAR EXCHANGE RATE OVER THE LAST 30 YEARS

Material type: 文書・図像類

Author: Inoue, Hitoshiほか

Publisher: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

Publication date: 2015-06

Material Format: Paper

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Note (General)：: We empirically investigate the dynamic nature of three alternative hypotheses on the foreign exchange rate between the Japanese yen and US dollar in a...

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Paper

Material Type: 文書・図像類
Title: THREE ALTERNATIVE HYPOTHESES ON THE YEN-DOLLAR EXCHANGE RATE OVER THE LAST 30 YEARS
Author/Editor: Inoue, Hitoshi
Honda, Yuzo
Author Heading: Inoue, Hitoshi
https://nrid.nii.ac.jp/nrid/1000010545057
Honda, Yuzo
https://nrid.nii.ac.jp/nrid/1000080137249
Publication, Distribution, etc.: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
Publication Date: 2015-06
Publication Date (W3CDTF): 2015-06
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 15-15
Volume: 15-15
Pages: 1-33
Text Language Code: eng
Subject Heading: Quasi Purchasing Power Parity
Uncovered Interest Rate Parity
Soros Chart
Monetary Policy
Vector Autoregression
Target Audience: 一般
Note (General): We empirically investigate the dynamic nature of three alternative hypotheses on the foreign exchange rate between the Japanese yen and US dollar in a multivariate context, using data from April 1985 to October 2014. The three hypotheses are the uncovered interest rate parity hypothesis, the current account hypothesis, and the quasi purchasing power parity hypothesis. Each hypothesis has significant influence on the yen–dollar exchange rate. Furthermore, it takes two to three years for the yield spread between the yen and dollar to have its largest impact on the exchange rate. In addition, the effects of unexpected shocks to the exchange rate on the export price ratio and current account are long lasting.
References (URI): http://www2.econ.osaka-u.ac.jp/library/global/dp/1515.pdf
URI
http://www2.econ.osaka-u.ac.jp/library/global/dp/1515.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華