322,246 research outputs found
Are Re-Assessing the Evidence of an Emerging Yen Block in North and Southeast Asia
Full text linkUsing 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
Intraday Yen/Dollar Exchange Rate Movements: News or Noise?
Full text linkIntraday 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.
The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests
Full text linkThe 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
The Yen and Its East Asian Neighbors, 1980-1995: Cooperation or Competition?
Full text linkBy 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.
Time of Troubles: The Yen and Japan's Economy, 1985-2008
Full text linkThis 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.
Machilus pingii W. C. Cheng ex Yen C. Yang 1945
No full textMachilus pingii W.C.Cheng ex Yen C. Yang (1945: 76). Type:— CHINA. Chongqing [Szechuan], Beibei District [Pa-hsien, Peipei], Jinyun Shan [Tsin-yun-shan], 6 April 1939, C. Pei 7092 (lectotype designated here, NAS00070923; isolectotypes NAS00070925, PE00029013). Remaining syntypes: CHINA. Sichuan [Sikang]: Ya-an, near Ma Liu Chang [Ma-kiou-Chang], 6 August 1939, Y. C . Yang 3423 (NAS00070924, PE00935898). Paratypes in CQNM: CHINA. Sichuan: Emei Shan, elev. ca. 400 m, 3 April 1940, W. P . Fang 13984 (CQNM0015775, IBK00009356, KUN0172559, PE00618771, SZ00163694) & W. P . Fang 13985 (CQNM0015779, KUN0172561, PE00618792, SZ00163689); Sichuan: without locality, 1930, T . Tang [or F. T. Wang] 23124 (CQNM0015780, IBSC0062447, KUN0172569, PE00029016, SZ). = Machilus nanmu (Oliver 1880: 10) Hemsl. in Forbes & Hemsley (1891: 376). Note: —In the protologue, Yang (1945) designated C. Pei 7092 and Y. C. Yang 3423 as flowering and fruiting types, respectively, and both are syntypes according to Art. 9.6 (Turland et al. 2018). Three duplicates (NAS00070923, NAS00070925, PE00029013) of C. Pei 7092 and two duplicates (NAS00070924, PE 00935898) were traced. Among of them, two duplicates (NAS00070923,NAS00070924) bear the annotation of Yang’s handwritten. Here, the duplicate NAS00070923 is here chosen as the lectotype because of better condition. Among of the paratypes cited by Yang, the two gatherings W. P. Fang 19834 & 13985 collected from Mt. Emei are traced, and Fang 13985 was erroneously cited as ‘19985’ in the protologue by Yang (1945).Published as part of Chen, Feng & He, Hai, 2022, The historical relics in Chongqing Natural History Museum: An annotated checklist of original materials for 37 names of Chinese seed plants, pp. 38-52 in Phytotaxa 530 (1) on page 43, DOI: 10.11646/phytotaxa.530.1.3, http://zenodo.org/record/582393
The monetary model of the US Dollar–Japanese Yen exchange rate: An empirical investigation
Full text linkThis article considers the long-run performance of the monetary approach to explain the dollar–yen exchange rates during a period of high international capital mobility. We apply the Johansen methodology to quarterly data over the period 1980:01–2009:04 and show that the historical inadequacy of the monetary approach is due to the breakdown of its underlying building-blocks, money demand stability and purchasing power parity. Our findings on long-run weak exogeneity tests emphasize the importance of the extended model employed here. This shows that cumulative shocks to nominal exchange rates can be explained by variables outside the usual price and interest rates
Dynamic equilibrium correction modelling of yen Eurobond credit spreads
Full text linkUnderstanding 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.
Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s
Full text linkCross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been many empirical studies about actual markets. This study addresses factors of USD/JPY swap rates from the late 1990s to the present, and demonstrates that differences in credit risk premiums, forward exchange rates and assets swaps of foreign investors from JPY to other currencies have significant effects on those rates.Currency swap; international finance; empirical finance
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