TY - JOUR
T1 - Sources of exchange rate movements in Japan
T2 - Is the exchange rate a shock-absorber or a source of shock?
AU - An, Lian
AU - Kim, Yoonbai
PY - 2010/5
Y1 - 2010/5
N2 - This paper investigates the sources of movements of the yen-dollar exchange rate using a structural vector autoregression (VAR) with a combination of short-run and long-run zero restrictions. We find that real shocks dominate nominal shocks in explaining the exchange rate movements, with relative real demand shocks as the major contributor. The exchange rate market does not seem to be a major source of disturbances to the Japanese economy. The overall results support the view that the bilateral dollar exchange rate in Japan is a shock-absorber rather than a source of shocks.
AB - This paper investigates the sources of movements of the yen-dollar exchange rate using a structural vector autoregression (VAR) with a combination of short-run and long-run zero restrictions. We find that real shocks dominate nominal shocks in explaining the exchange rate movements, with relative real demand shocks as the major contributor. The exchange rate market does not seem to be a major source of disturbances to the Japanese economy. The overall results support the view that the bilateral dollar exchange rate in Japan is a shock-absorber rather than a source of shocks.
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U2 - 10.1111/j.1467-9396.2010.00853.x
DO - 10.1111/j.1467-9396.2010.00853.x
M3 - Article
AN - SCOPUS:77954353759
SN - 0965-7576
VL - 18
SP - 265
EP - 276
JO - Review of International Economics
JF - Review of International Economics
IS - 2
ER -