Structural Change in Time Series of the Exchange Rates between Yen-Dollar and Yen-Euro in 2001-2004

The economic structural change in the data of the yen exchange rates to US dollar and to euro is investigated. We analyse the distribution of the residuals which are the differences between the smoothed and original data. The probability density function is well approximated by the Gram-Charlier expansion. The existence of the fact that the distribution of the residuals parts from the normal distribution indicates the occurrence of the structural change. Introducing a new index, composed by the skewness and the kurtosis, we can easily find a sign of the structural change. It is shown that both data of the yen-dollar rate and the yen-euro rate from January 2, 2001 to May 18, 2004 undergo the structural changes three times together on May 23, 2001, March 11, 2002, and December 27, 2002.structural change, Gram-Charlier expansion, exchange rates, skewness and kurtosis

Private Strategy and Efficiency: Repeated Partnership Games Revisited

This paper studies repeated partnership games with only two public signals, the game studied in Radner Myerson and Maskin(1986) except that the stage game is discrete. It is well known that the public perfect equilibrium (PPE) payoff set is bounded away from the efficient frontier in this class of game. However, it has not been unanswered how this restriction to public strategies is restrictive even in this simple class of repeated games. In this paper, I construct a strongly symmetric sequential equilibrium whose payoff dominates the best symmetric PPE payoff. The strategy used to construct this equilibrium depends not only on public signals but also on player's own past actions. I call this kind of strategy private strategy and such an equilibrium a private sequential equilibrium. I also provide an example where the private sequential equilibrium approximates the efficient outcome, but the PPE payoff set is contained in an arbitrary small neighborhood of the stage game Nash equilibrium payoff. In precise, I can find a sequence of the stage game (partnership game) where the private strategy sequential equilibrium converges to the symmetric efficient outcome and the whole PPE payoff set converges to the stage game Nash equilibrium payoff. This implies that the private sequential equilibrium payoff dominates any PPE payoff. This example suggests that the difference between a PPE payoff set and a sequential equilibrium payoff set can be potentially significant.

Intervention of Japanese Monetary Authority in the Foreign Exchange Market

The Japanese monetary authority intervenes into the foreign exchange market on and off. The influence of the operations on the fluctuation of the yen exchange rate to U.S. dollar is examined in the period of September 17 through 28, 2001. A cyclic behavior is found in correlation functions of the series. It is shown that the cycle of the fluctuation is elongated after the intervention. A model that represents these properties of correlation functions is proposed. The Fokker-Planck equation of this model is solved. The expectation value derived from the solution is cyclical and the variance is constant. Those results are different from what the Ornstein-Uhlenbeck process has.Intervention, Fokker-Planck equation, Langevin equation, exchange rate fluctuation