Location of Repository

JEL: F31, F41 WHITHER THE YEN? IMPLICATIONS OF AN INTERTEMPORAL MODEL OF THE YEN/DOLLAR RATE

By Menzie David Chinn

Abstract

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: F31, F41 Acknowledgements: I thank Hui Miao and Alex Zarechnak for assistance in collecting data

Year: 1995
OAI identifier: oai:CiteSeerX.psu:10.1.1.195.9434
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://econwpa.wustl.edu:80/ep... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.