Purchasing Power Parity: Granger Causality Tests for the Yen- Dollar Exchange Rate

Gunther Schnabl and Dirk Baur ()

International Finance from University Library of Munich, Germany

Abstract: The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the appreciation of the Japanese yen forced the Japanese enterprises into price reductions and productivity increases, which put a floor under the high level of the yen and thus initiated rounds of appreciation. This corresponds to the conjecture of a vicious (virtuous) circle of appreciation and price adaptation.

Keywords: yen; yen-dollar exchange rate; purchasing power parity; Granger causality test (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2005-06-15
New Economics Papers: this item is included in nep-ifn and nep-mon
Note: Type of Document - pdf; pages: 22
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0506/0506006.pdf (application/pdf)

Related works:
Journal Article: Purchasing power parity: Granger causality tests for the yen-dollar exchange rate (2002)
Working Paper: Purchasing power parity: Granger causality tests for the yen-dollar exchange rate (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0506006

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