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

Inoue, Hitoshi; Honda, Yuzo

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

Inoue, Hitoshi; Honda, Yuzo

Discussion Papers In Economics And Business, 2015, 15-15, 1-33

アクセス数:429件（2026-04-04 22:19 集計）

固定URL: https://hdl.handle.net/11094/51729

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タイトル	THREE ALTERNATIVE HYPOTHESES ON THE YEN-DOLLAR EXCHANGE RATE OVER THE LAST 30 YEARS
著者	NRID 1000010545057 1000010545057 著者名 Inoue, Hitoshi
著者	NRID 1000080137249 1000080137249 著者名 Honda, Yuzo
キーワード等	Quasi Purchasing Power Parity
	Uncovered Interest Rate Parity
	Soros Chart
	Monetary Policy
	Vector Autoregression
抄録	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.
出版者	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
収録物名	Discussion Papers In Economics And Business
巻(号)	15-15
ページ	1-33
刊行年月	2015-06
言語	英語
ハンドルURL	https://hdl.handle.net/11094/51729
NCID	AA1160366X
関連情報 (references)	URI http://www2.econ.osaka-u.ac.jp/library/global/dp/1515.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Discussion Papers In Economics And Business

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business. 2015, 15-15, p. 1-33
DC.title	THREE ALTERNATIVE HYPOTHESES ON THE YEN-DOLLAR EXCHANGE RATE OVER THE LAST 30 YEARS
DC.creator	Inoue, Hitoshi
DC.creator	Honda, Yuzo
DC.publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2015-06
DC.relation' scheme='DCTERMS.URI	http://www2.econ.osaka-u.ac.jp/library/global/dp/1515.pdf
DC.subject	Quasi Purchasing Power Parity
	Uncovered Interest Rate Parity
	Soros Chart
	Monetary Policy
	Vector Autoregression
DCTERMS.abstract	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.
DC.format	51729
citation_title	THREE ALTERNATIVE HYPOTHESES ON THE YEN-DOLLAR EXCHANGE RATE OVER THE LAST 30 YEARS
citation_author	Inoue, Hitoshi
citation_author	Honda, Yuzo
citation_publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
citation_language	英語
citation_date	2015-06
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	15-15
citation_firstpage	1
citation_lastpage	33
citation_public_url	https://hdl.handle.net/11094/51729
citation_abstract_html_url	http://www2.econ.osaka-u.ac.jp/library/global/dp/1515.pdf

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

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