Japanese Effective Exchange Rates and Determinants: Prices, Real Interest Rates, and Actual and Optimal Current Accounts

Jun Nagayasu

No 1998/086, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 33
Date: 1998-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=2646 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1998/086

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().