214,676 research outputs found
"A Vulnerable Power in the World Economy: Japan's Economic Diplomacy and the Yen"
No full textThe volatile yen/dollar exchange rate has largely influenced Japan's business cycles and foreign economic relations from the 1980s. In particular to note is the triangular pattern of trade interdependence which appeared following the rising yen exchange rate and a increased scale of Foreign Direct Investments from Japan. Along with the post-bubble recession, however, the global position of the yen has also declined. The more international use of the currency, although recommended by policy-makers and economists, is limited because of the fact that Japanese economy stands on two pillars, the United States and East Asia, and the latter is more dependent on the former than on Japan.
Are Re-Assessing the Evidence of an Emerging Yen Block in North and Southeast Asia
No full textUsing weekly observations on 9 Asian currencies from November 1976 to December 2003, we re-examine the evidence of an emerging yen block in North and Southeast Asia. In contrast to previous research that assumes instantaneous adjustment of exchange rates by the region’s Central Banks to variations in the world’s main global currencies, we use a dynamic general-to-specific Newey-West estimation strategy that allows gradual adjustment and calculation of both short and long run equilibrium responses. We find that there is no de facto yen block, but although the US dollar remains dominant throughout the region, the yen’s influence is rising amongst a subset of the currencies, particularly since the Asian crisis of the late 1990s. Classification-Exchange rate systems, yen block
The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
No full textThis paper studies the role of the yen/dollar exchange rate in the Bank of Japan’s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999. The results show a temporary impact of the exchange rate on monetary policy around 1978/79 and a persistently increasing impact of the yen/dollar exchange rate after 1986. The ris ing importance of the yen/dollar exchange rate for Japanese monetary policy is in line with increasing efforts to stabilize the yen/dollar exchange rate by foreign exchange intervention after March 1999, when the nominal interest rate reached the zero boundary.Japan, Monetary Policy Reaction Function, Bank of Japan, Interest Rate Rules, Exchange Rates, Taylor Rule, GMM.
The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
No full textThis paper studies the role of the yen/dollar exchange rate in the Bank of Japan?s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999. The results show a temporary impact of the exchange rate on monetary policy around 1978/79 and a persistently increasing impact of the yen/dollar exchange rate after 1986. The ris ing importance of the yen/dollar exchange rate for Japanese monetary policy is in line with increasing efforts to stabilize the yen/dollar exchange rate by foreign exchange intervention after March 1999, when the nominal interest rate reached the zero boundary. --Japan,Monetary Policy Reaction Function,Bank of Japan,Interest Rate Rules,Exchange Rates,Taylor Rule,GMM
Intraday Yen/Dollar Exchange Rate Movements: News or Noise?
No full textIntraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.
Dynamic equilibrium correction modelling of yen Eurobond credit spreads
No full textUnderstanding the long term relationship between the yields of risky and riskless bonds is a critical task for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads between Japanese Government bonds (JGBs) and Japanese yen Eurobonds with high quality credit ratings. The empirical results indicate that the corporate bond yields are cointegrated with the otherwise equivalent JGB yields, with the spread defining the cointegration relation. In addition the results indicate that the equilibrium correction term is highly statistically significant in modelling credit spread changes. Another important factor is the risk-free interest rate with the negative sign, while there is little evidence of the contribution of the asset return to the behaviour of spreads.
The Yen and Its East Asian Neighbors, 1980-1995: Cooperation or Competition?
No full textBy looking at how an East Asian currency moves when the yen fluctuates sharply against the US dollar, we sometimes find that the reaction has been much more significant than would be suggested by the econometric estimates of the weight of the yen in nominal exchange rate determination. Moreover, the Korean won and the Malaysian ringgit have tended to move more closely with a depreciating yen, suggesting the countries' emphasis on export promotion. The Singapore dollar, on the other hand, has tended to move more closely with an appreciating yen, underscoring the importance attached to price stability. The paper concludes that, given the trend appreciation of the yen during the recent past, emphasis on price stability has contributed more to monetary cooperation in Asia than emphasis on export promotion.
The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests
No full textThe empirical literature that tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The yen real exchange rate behavior, as compared to other major currencies, has most stubornly challenged the PPP hypothesis and deepened this puzzle. This paper contributes to this discussion by providing new evidence on the stationarity of bilateral yen real exchange rates. We employ a non-linear version of the Augmented Dickey-Fuller test, based on an exponentially smooth-transition autogregressive model (ESTAR) that enhances the power of the tests against mean-reverting nonlinear alternative hypotheses. Our results suggest that the bilateral yen real exchange rates against the other G7 and Asian currencies were mean reverting during the post-Bretton Woods era. Thus, the real yen behavior may not be so different after all but simply perceived to be so due to the use of a restrictive alternative hypothesis in previous tests.PPP, Yen, Real exchange rates, Nonlinear models, ESTAR models
Time of Troubles: The Yen and Japan's Economy, 1985-2008
No full textThis paper explores the links between macroeconomic developments, especially monetary policy, and the exchange rate during the period of Japan's bubble economy and subsequent stagnation. The yen experienced epic gyrations over that period, starting with its rapid ascent after the March 1985 Plaza Accord of major industrial countries. Two distinct periods of endaka fukyo, or recession induced by a strong yen, occurred in the late 1980s and the early 1990s at critical phases of the monetary policy cycle. My approach emphasizes the interaction of short-term developments driven by monetary factors (as they affect international real interest rate differentials) and the long-term determinants of the real exchange rate's equilibrium path. Chief among those long-run determinants are relative sectoral productivity levels and the terms of trade, including the price of oil. Since the mid-1990s, the yen's real exchange rate has generally followed a depreciating trend and Japan's comprehensive terms of trade have deteriorated.
The 1.03 million yen ceiling and earnings inequality among married women in Japan
No full textIn this paper, we examine the impact of the `1.03 million yen ceiling,' a means-tested transfer scheme for secondary earners in Japan, on earnings inequality of married women. We find that the decline in earnings inequality among married women between 1993 and 2003 is attributable to the increase in the number of wives with low earnings and the decrease in the number of wives with zero earnings.Coefficient of variation, 1.03 million yen ceiling, Japan
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