Purchasing power parity: Granger causality tests for the yen-dollar exchange rate

Japan and the World Economy

Volumn 14, Issue 4, 2002, Pages 425-444

  Schnabl, Gunther ^a   Baur, Dirk ^a  

^a UNIVERSITY OF TÜBINGEN   (Germany)

Author keywords

Granger causality test; Purchasing power parity; Yen; Yen dollar exchange rate

Indexed keywords

EID: 0036888461     PISSN: 09221425     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0922-1425(02)00016-6     Document Type: Article

References (40)

1. Athukorala, P., Menon, J., 1994. Pricing to the market behaviour and exchange rate pass-through in Japanese exports. Economic Journal 104, 271-281.
2. Balassa, B., 1964. The purchasing-power parity doctrine: a reappraisal. Journal of Political Economy 72, 584-596.
3. Cassel, G., 1916. The present situation of the foreign exchanges. Economic Journal 26, 62-65.
4. Ceglowski, J., 1996. The real yen exchange rate and Japanese productivity growth. Review of International Economics 4, 54-63.
5. Cheng, B., 1999. Beyond the purchasing power parity: testing for cointegration and casuality between exchange rates, prices, and interest rates. Journal of International Money and Finance 18, 911-924.
6. De Gregorio, J., Giovannini, A., Wolf, H., 1994. International evidence on tradables and nontradables inflation. European Economic Review 38, 1225-1244.
7. Einzig, P., 1935. World Finance 1914-1935, New York.
8. Frenkel, J., 1976. A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. Scandinavian Journal of Economics 78, 200-224.
9. Frenkel, J., 1981. The collapse of purchasing power parities during the 1970s. European Economic Review 16, 145-165.
10. Froot, K., Rogoff, K., 1995. Perspectives on PPP and long-run real exchange rates. In: Grossman, G., Rogoff, K. (Eds.), Handbook of International Economics III, Amsterdam, pp. 1647-1688.
11. Fukuhara, T., 1996. Kawase reto to Yushutsu Kigyo: Jidosha Sangyo no Jirei. In: Ito, Motoshige (Ed.), Endaka Enyasu no Kigyo Doko wo Toku, Tokyo, pp. 111-130.
12. Giovannini, A., 1988. Exchange rates and traded goods prices. Journal of International Economics 24, 45-68.
13. Gourieroux, C., Monfort, A., 1997. Time Series and Dynamic Models, Cambridge.
14. Granger, C., 1969. Investigating causal relations by econometric models and cross spectral methods. Econometrica 37, 424-439.
15. Hafer, R., 1989. Does dollar depreciation cause inflation? Federal Reserve Bank of St. Louis Review 71 (4), 16-28.
16. Hamilton, J., 1994. Time Series Analysis, Princeton.
17. Hsieh, D., 1982. The determination of the real exchange rate. The productivity approach. Journal of International Economics 12, 355-362.
18. Hung, W., Kim, Y., Ohno, K., 1993. Pricing exports: a cross-country study. Journal of International Money and Finance 12, 3-28.
19. Hutchison, M., 1988. Monetary control with an exchange rate objective: the Bank of Japan, 1973-1986. Journal of International Money and Finance 7, 261-271.
20. Jinushi, T., Kuroki, Y., Miyao, R., 2000. Monetary policy in Japan since the late 1980s: delayed policy actions and some explanations. In: Mikitani, R., Posen, A. (Eds.), Japan's Financial Crisis and its Parallels to US Experience, Institute for International Economics, Special Report 13.
21. Kholdy, S., Sohrabian, A., 1990. Exchange rates abd prices: evidence from Granger causality tests. Journal of Post Keynesian Economics 13 (1), 71-78.
22. Klitgaard, T., 1999. Exchange rates and profit margins: the case of Japanese exporters. Federal Reserve Bank of New York Economic Policy Review, pp. 41-54.
23. Krugman, P., 1978. Purchasing power parity and exchange rates. Journal of International Economics 8 (3) 397-407.
24. Mann, C., 1986. Prices, profit margins, and exchange rates. Federal Reserve Bulletin 72 (6), 366-379.
25. Marston, R., 1987. Real exchange rate and productivity growth in the United States and Japan. In: Arndt, R. (Ed.), Real-Financial Linkages among Open Economies, Cambridge, pp. 71-96.
26. Marston, R., 1990. Pricing to market in Japanese manufacturing. Journal of International Economics 29, 217-236.
27. Marston, R., 1991. Price behaviour in Japanese and US manufacturing. In: Krugman, P. (Ed.), Trade with Japan: Has the Door Opened Wider? Chicago, pp. 121-148.
28. McCarthy, J., 2000. Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. Federal Reserve Bank of New York Staff Reports, p. 111.
29. McKinnon, R., Ohno, K., 1997. Dollar and Yen: Resolving Economic Conflict between the United States and Japan. Cambridge, MA.
30. McKinnon, R., Ohno, K., 2001. The foreign exchange origin of Japan's economic slump and low interest liquidity trap. World Economy 25 (3), 279-315.
31. Menon, J., 1995. Exchange rate pass-through. Journal of Economic Surveys 9 (2), 197-231.
32. Ohno, K., 1989. Testing purchasing power parity and the Dornbusch overshooting model with vector autoregression. Journal of the Japanese and International Economies 3, 209-226.
33. Ohno, K., 1990. Exchange rate fluctuations, pass-trough, and market share. IMF Staff Papers 37 (2), 294-310.
34. Parsley, D., Popper, H., 1998. Exchange rates, domestic prices, and central bank actions: recent US experience. Southern Economic Journal 64 (4), 957-972.
35. Pigou, A., 1920. Some problems of foreign exchange. Economic Journal 30, 460-472.
36. Pippenger, M., 1995. Testing price-exchange rate noncausality: results from a vector error correction model. Atlantic Economic Journal 23 (4), 255-266.
37. Samuelson, P., 1964. Theoretical notes on trade problems. The Review of Economics and Statistics 46 (5), 145-154.
38. Schnabl, G., 2001. Purchasing power parity: yen/dollar exchange rate. World Economy 24 (1), 31-50.
39. Takagi, S., 1991. Foreign exchange market intervention and domestic monetary control in Japan, 1973-1989. Japan and the World Economy 3, 147-180.
40. Viner, J., 1937. Studies in the Theory of International Trade, New York.