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Japanese Effective Exchange Rates and Determinants: Prices, Real Interest Rates, and Actual and Optimal Current Accounts
Author:
Mr. Jun Nagayasu
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Series:
IMF Working Papers
Volume/Issue:
Volume 1998: Issue 086
Language:
English
Publication Date:
01 Jun 1998
DOI:
https://doi.org/10.5089/9781451850857.001
ISBN:
9781451850857
ISSN:
1018-5941
Pages:
33
Keywords:
WP; Long-run exchange rates; co-integration; exchange rate dynamics; optimal current account; real interest rate differential; exchange rate fluctuation; current account deterioration; exchange rate movement; time series; exchange rate control; nominal exchange rate movement; long-run rate; utility function; Current account; Exchange rates; Real interest rates; Real exchange rates; Purchasing power parity
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 1998: Issue 086