Is the yen misaligned more during the Abenomics period?

研究成果: Article

抄録

This paper measures the extent to which the real effective exchange rate of the Japanese yen is misaligned from its equilibrium value. The equilibrium value is estimated using the behavioral equilibrium exchange rate (BEER) approach to determine whether the yen is more misaligned during the Abenomics period. Economic fundamentals such as terms of trade, relative price of nontraded to traded goods, net foreign asset ratio over trade volume, and real interest rate differentials are used to assess the equilibrium exchange rate. Because parameter instability is detected for the whole period (1993 Q1–2016 Q2), stable estimation results for the subsample period (2003 Q1–2016 Q2) are used to compute misalignments. The results indicate that the yen was substantially overvalued during the global financial crisis period (2008 Q4–2012 Q4). In contrast, it was undervalued during the Abenomics period (2013 Q1–2016 Q2) but was much less misaligned than in pre-Abenomics periods.

元の言語English
ページ(範囲)26-34
ページ数9
ジャーナルJapan and the World Economy
44
DOI
出版物ステータスPublished - 2017 12 1

Fingerprint

terms of trade
rate of exchange
interest rate
financial crisis
Values
assets
economics
Equilibrium exchange rate
Economic fundamentals
Parameter instability
Misalignment
Terms of trade
Interest rate differentials
Global financial crisis
Trade volume
Net foreign assets
Real effective exchange rate
Relative prices

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

これを引用

@article{38cf1920cae5420eb9b3ea3bf3218e2a,
title = "Is the yen misaligned more during the Abenomics period?",
abstract = "This paper measures the extent to which the real effective exchange rate of the Japanese yen is misaligned from its equilibrium value. The equilibrium value is estimated using the behavioral equilibrium exchange rate (BEER) approach to determine whether the yen is more misaligned during the Abenomics period. Economic fundamentals such as terms of trade, relative price of nontraded to traded goods, net foreign asset ratio over trade volume, and real interest rate differentials are used to assess the equilibrium exchange rate. Because parameter instability is detected for the whole period (1993 Q1–2016 Q2), stable estimation results for the subsample period (2003 Q1–2016 Q2) are used to compute misalignments. The results indicate that the yen was substantially overvalued during the global financial crisis period (2008 Q4–2012 Q4). In contrast, it was undervalued during the Abenomics period (2013 Q1–2016 Q2) but was much less misaligned than in pre-Abenomics periods.",
keywords = "Abenomics, Behavioral equilibrium exchange rate, Japanese yen, Misalignment",
author = "Baak, {Saang Joon}",
year = "2017",
month = "12",
day = "1",
doi = "10.1016/j.japwor.2017.10.004",
language = "English",
volume = "44",
pages = "26--34",
journal = "Japan and the World Economy",
issn = "0922-1425",
publisher = "Elsevier",

}

TY - JOUR

T1 - Is the yen misaligned more during the Abenomics period?

AU - Baak, Saang Joon

PY - 2017/12/1

Y1 - 2017/12/1

N2 - This paper measures the extent to which the real effective exchange rate of the Japanese yen is misaligned from its equilibrium value. The equilibrium value is estimated using the behavioral equilibrium exchange rate (BEER) approach to determine whether the yen is more misaligned during the Abenomics period. Economic fundamentals such as terms of trade, relative price of nontraded to traded goods, net foreign asset ratio over trade volume, and real interest rate differentials are used to assess the equilibrium exchange rate. Because parameter instability is detected for the whole period (1993 Q1–2016 Q2), stable estimation results for the subsample period (2003 Q1–2016 Q2) are used to compute misalignments. The results indicate that the yen was substantially overvalued during the global financial crisis period (2008 Q4–2012 Q4). In contrast, it was undervalued during the Abenomics period (2013 Q1–2016 Q2) but was much less misaligned than in pre-Abenomics periods.

AB - This paper measures the extent to which the real effective exchange rate of the Japanese yen is misaligned from its equilibrium value. The equilibrium value is estimated using the behavioral equilibrium exchange rate (BEER) approach to determine whether the yen is more misaligned during the Abenomics period. Economic fundamentals such as terms of trade, relative price of nontraded to traded goods, net foreign asset ratio over trade volume, and real interest rate differentials are used to assess the equilibrium exchange rate. Because parameter instability is detected for the whole period (1993 Q1–2016 Q2), stable estimation results for the subsample period (2003 Q1–2016 Q2) are used to compute misalignments. The results indicate that the yen was substantially overvalued during the global financial crisis period (2008 Q4–2012 Q4). In contrast, it was undervalued during the Abenomics period (2013 Q1–2016 Q2) but was much less misaligned than in pre-Abenomics periods.

KW - Abenomics

KW - Behavioral equilibrium exchange rate

KW - Japanese yen

KW - Misalignment

UR - http://www.scopus.com/inward/record.url?scp=85033666932&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85033666932&partnerID=8YFLogxK

U2 - 10.1016/j.japwor.2017.10.004

DO - 10.1016/j.japwor.2017.10.004

M3 - Article

AN - SCOPUS:85033666932

VL - 44

SP - 26

EP - 34

JO - Japan and the World Economy

JF - Japan and the World Economy

SN - 0922-1425

ER -