The Real Exchange Rate and the Current Account Balance in Japan

Journal of the Japanese and International Economies

Volumn 11, Issue 2, 1997, Pages 143-184

  Song, Chi Young ^a  

^a Korea Institute of Finance   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0004389403     PISSN: 08891583     EISSN: None     Source Type: Journal    
DOI: 10.1006/jjie.1997.0378     Document Type: Article

References (60)

1. Baillie R. T., Pecchenino R. A. The search for equilibrium relationship in international finance: The case of the monetary model. J. Int. Money Finance. 10:1991;582-593.
2. Balassa B. The purchasing power parity doctrine: A reappraisal. J. Polit. Econ. 72:1964;584-596.
3. S. Blough, 1988, On the impossibility of testing for unit roots and cointegration in finite samples, Johns Hopkins University.
4. Cochrane J. A critique of the application of unit root tests. J. Econ. Dynam. Control. 15:1991;275-284.
5. Corbae D., Ouliaris S. Cointegration and tests of purchasing power parity. Rev. Econ. Statist. 70:1988;508-511.
6. Corbae D., Ouliaris S. A test of long-run purchasing power parity allowing for structural breaks. Econ. Rec. 67:1991;26-33.
7. Coughlin C., Koedijk K. What do we know about the long-run real exchange rate? Fed. Res. Bank St. Louis Rev. 72:1990;36-48.
8. Devereux M., Shi S. Capital accumulation and the current account in a two-country model. J. Int. Econ. 30:1991;1-26.
9. Dornbusch R. Expectations and exchange rate dynamics. J. Polit. Econ. 84:1976;1161-1176.
10. Dornbusch R. Real exchange rates and macroeconomics: A selective survey. Scand. J. Econ. 91:1989;401-432.
11. Edison H. J., Klovland J. T. A quantitative reassessment of the purchasing power parity hypothesis: Evidence from Norway and the United Kingdom. J. Appl. Econ. 2:1987;309-333.
12. Edwards S. Real monetary determinants of real exchange rate behavior. J. Devel. Econ. 29:1988;311-341.
13. Engle R. F., Granger C. W. J. Co-integration and error correction: Representation, estimation, and testing, Econometrica. 55:1987;251-276.
14. Fisher E., Park J. Y. Testing purchasing power parity under the null hypothesis of cointegration. Econ. J. 101:1991;1476-1484.
15. Frankel J. A. On the mark: A theory of floating exchange rates based on real interest differentials. Amer. Econ. Rev. 69:1979;610-622.
16. Frenkel J. A., Mussa M. Asset markets, exchange rates and the balance of payments. Handbook of International Economics. 1985;North-Holland, Amsterdam. p. 679-748.
17. Giovannini A. The real exchange rate, the capital stock, and fiscal policy. Europ. Econ. Rev. 32:1988;1747-1767.
18. Hamada K., Iwata K. On the international capital ownership pattern at the turn of the twenty-first century. Europ. Econ. Rev. 33:1989;1055-1085.
19. F. Hayashi, 1989, Japan's Saving Rate: New Data and Reflections.
20. Hazari B., Jayasuriya S., Sgro P. Tariffs, terms of trade, unemployment and the real exchange rate. Southern Econ. J. 58:1992;721-731.
21. P. Hooper, J. Marquez, 1993, Exchange Rates, Prices, and External Adjustment in the United States and Japan, Board of Governors of the Federal Reserve System.
22. Hooper P., Morton J. Fluctuations in the dollar: A model of nominal and real exchange rate determination. J. Int. Money Finance. 1:1982;39-56.
23. Hsieh D. The determination of the real exchange rate: Productivity approach. J. Int. Econ. 12:1982;355-362.
24. Ito T. The Japanese Economy. 1992;MIT Press, Cambridge.
25. Johansen S. Statistical analysis of cointegration vectors. J. Econ. Dynam. Control. 12:1988;231-254.
26. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica. 59:1991;1551-1580.
27. Johansen S., Juselius K. Maximum likelihood estimation and inference on cointegration - with application to the demand for money. Oxford Bull. Econ. Statist. 52:1990;169-210.
28. Johansen S., Juselius K. Testing structural hypothesis in a multivariate cointegration analysis of the PPP and the UIP for UK. J. Econometrics. 53:1992;211-244.
29. Kim Y. Purchasing power parity in the long run: A cointegration approach. J. Money, Credit, Banking. 22:1990;491-503.
30. Lo A., MacKinlay C. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation. J. Econometrics. 40:1989;203-238.
31. B. E. Loopesko, R. A. Johnson, 1987, Realignment of the Yen-Dollar Exchange Rate: Aspects of the Adjustment Process in Japan, Board of Governors of the Federal Reserve System.
32. MacKinnon J. Critical values for cointegration tests. Engle R. F., Granger C. W. J. Long-run Economic Relationships. 1991;267-276 Oxford Univ. Press, London.
33. Mark N. Real and nominal exchange rates in the long run: An empirical investigation. J. Int. Econ. 29:1990;115-136.
34. Marston R. Systematic movements in real exchange rates in the G-5. J. Bank. Finan. 14:1990;1023-1044.
35. Marston R. Real exchange rates and productivity growth in the United States and Japan. Arndt S. W., Richardson J. D. Real-financial Linkage among Open Economies: An Overview. 1987;71-96 MIT Press, Cambridge.
36. McKibbin W., Sachs J. Global Linkages: Macroeconomic Interdependence and Cooperation in the World Economy. 1991;The Brookings Institution, Washington.
37. Mussa M. The effects of commercial, fiscal, monetary, and exchange rate policies on the real exchange rate. Edwards S., Ahamed L. Economic Adjustment and Exchange Rates in Developing Countries. 1986;43-86 Univ. of Chicago Press, Chicago.
38. Neary P. Determinants of the equilibrium real exchange rate. Amer. Econ. Rev. 78:1988;210-215.
39. Ogaki M. Engel's Law and cointegration. J. Polit. Econ. 100:1992;1027-1046.
40. Osterwald-Lenum M. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bull. Econ. Statist. 54:1992;461-471.
41. Ostry J. The balance of trade, terms of trade, and real exchange rate: An intertemporal optimizing framework. IMF Staff Paper. 35:1988;541-573.
42. Park J. Testing for unit roots and cointegration by variable addition. Rhodes G. F., Fomby T. B. Advances in Econometrics. 1990;107-133 JAI Press, Greenwich.
43. Park J. Canonical cointegration regression. Econometrica. 60:1992;119-143.
44. J. Park, M. Ogaki, 1991, Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics, Rochester Center for Economic Research, University of Rochester.
45. J. Park, S. Ouliaris, B. Choi, 1988, Spurious Regressions and Tests for Cointegration, Center for Analytic Economics, Cornell University.
46. Patel J. Purchasing power parity as a long-run relation. J. Appl. Econ. 5:1990;367-379.
47. Penati A. Government spending and the real exchange rate. J. Int. Econ. 22:1987;237-256.
48. Phillips P. C. B., Hansen B. E. Statistical inference in instrumental variables regression withI. Rev. Econ. Stud. 53:1990;99-125.
49. Phillips P. C. B., Perron P. Testing for a unit root in time series regression. Biometrika. 75:1988;335-346.
50. J. Sachs, C. Wyplosz, 1984, Exchange Rate Effects of Fiscal Policy.
51. Said S., Dickey D. Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika. 71:1984;599-607.
52. Stein J. The natural exchange rate of the United States dollar and determinants of capital flows. Williamson J. Estimating Equilibrium Exchange Rate. 1994;133-175 Institute for International Economics, Washington.
53. Svensson L., Razin A. The terms of trade and the current account: The Harberger-Laursen-Metzler effect. J. Polit. Econ. 91:1983;97-125.
54. Takenaka H. Contemporary Japanese Economy & Economic Policy. 1991;University of Michigan Press, Ann Arbor.
55. Toyokeizai, Shinbumsa, 1982, 1992, Toyokeizai Statistics Yearbook, Tokyo.
56. Economic Commission for Latin America and the Caribbean. Monograph Series 70. 1990.
57. Van Wijnbergen S. On fiscal deficits, the real exchange rate and the world rate of interest. Europ. Econ. Rev. 30:1986;1013-1023.
58. Whitt J. Jr. The long-run behavior of the real exchange rate: A reconsideration. J. Money, Credit, Banking. 24:1992;72-82.
59. Yoshikawa H. On the equilibrium yen-dollar rate. Amer. Econ. Rev. 80:1990;576-583.
60. Zeira J. Fiscal policy and the real exchange rate under risk. J. Int. Money Finance. 10:1991;264-278.