Sources of exchange rate movements in Japan: Is the exchange rate a shock-absorber or a source of shock?

Lian An, Yoonbai Kim

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)265-276
Number of pages12
JournalReview of International Economics
Volume18
Issue number2
DOIs
StatePublished - May 2010

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Development

Fingerprint

Dive into the research topics of 'Sources of exchange rate movements in Japan: Is the exchange rate a shock-absorber or a source of shock?'. Together they form a unique fingerprint.

Cite this