Dynamics of the yen-dollar real exchange rate and the US-Japan real trade balance

Matiur Rahman, Muhammad Mustafa and Daryl Burckel

Applied Economics, 1997, vol. 29, issue 5, 661-664

Abstract: This paper employs cointegration and error correction models to examine the dynamics of the yen-dollar real exchange rate and the US-Japan real trade balance. It uses quarterly data from 1973.I-1993.IV. The unit root tests reveal non-stationarity in both the variables. The ADF test fails to affirm any long-run association between the yen-dollar real exchange rate and the US-Japan real trade balance. Also, there is evidence of bidirectional short-run Granger causality between these two variables with mutual feedbacks.

Date: 1997
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DOI: 10.1080/000368497326868

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