Whither the Yen? Implications of an intertemporal model of the Yen/Dollar rate

Menzie Chinn

International Finance from University Library of Munich, Germany

Abstract: This paper documents the evidence for a fiscal model of the Yen/Dollar real exchange rate over the 1974-1994 period. Cointegrating relationships between the real exchange rate and productivity, government spending and the real price of oil are estimated using the Johansen (1988) and Stock-Watson (1993) procedures. The neoclassical fixed-factors fiscal model of Rogoff (1992) is found to have some substantiation in the data. Estimates of the long-run equilibrium exchange rate indicate a current overvaluation of the Yen relative to the US Dollar of approximately 30%.

JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 1995-08-22, Revised 1995-08-28
Note: International Finance yenxrate
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:9508001

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