Regime shift of Japanese foreign exchange policy: some findings

Takeshi Hoshikawa

Applied Economics Letters, 2012, vol. 19, issue 1, 25-28

Abstract: This article examines the regime shift of Japanese foreign exchange policy using monthly data from 1973:1 to 2005:9. We employ the residual-based tests for cointegration with regime shifts proposed by Gregory and Hansen (1996) to detect the change of Japanese exchange rate policy. The result of cointegration test with break shows that exchange rate and Japanese international reserves have long-run relationship.

Date: 2012
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DOI: 10.1080/13504851.2011.566003

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