Japan's Foreign Exchange Research Articles

POLICY UNCERTAINTY AND FOREIGN EXCHANGE RATES: THE DCC-GARCH MODEL OF THE US / JAPANESE FOREIGN EXCHANGE RATE

Since the breakdown of the Bretton Woods system in the 1970s, the US / Japan foreign exchange rate has been largely influenced by policy changes in the United States and Japan. This study applies the multivariate dynamic conditional correlation (DCC) ? generalized autoregressive conditional heteroscedasticity (GARCH) models to analyze the time-varying effects of policy uncertainty, measured by the economic policy uncertainty (EPU) index of Baker et al. (2013, 2016), on the US / Japan foreign exchange rate. Using the EPU index as a proxy variable, it shows that the dynamic conditional correlations between policy uncertainty and the exchange rate are not time-invariant, but even sign-changing in the sample period. The analysis also empirically examined what drives the evolution of the time-varying correlations. The driving force of the correlations is, however, mostly attributed to unknown random factors.

Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility

This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and Barndorff-Nielsen and Shephard (2004, 2006), we use bi-power variation to decompose daily realized volatility into two components: the smooth persistent and the discontinuous jump components. We model exchange rate returns, the different components of realized volatility and the central bank intervention using a system of simultaneous equations. We find strong support that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short-lived positive jumps, but were also persistent over time. We did not find any evidence that interventions were effective in influencing the exchange rate returns for the entire sample period.

Exchange Rate and Economic Performance - A Comparative Study of Developed and Developing Countries

The most significant and crucial goal of the developing and developed countries is to attain continued economic and financial growth and stability through stock market performance. The aim of the present research is to analyze the impact of the changes in foreign exchange rates on economic performance of developed and developing economies measured by the changes in the stock market returns. The study is focused to explore whether and to what extent foreign exchange rates affect the economic performance as measured by the stock market returns. The significance of the study is evident from the fact that the portfolio managers and investors are usually interested in making prudent investment decisions so as to maximize their returns through keeping an eye on various domestic and international factors affecting their returns. Moreover developed and developing countries are also interested in stabilizing and enhancing the economic growth by monitoring and controlling the factors affecting such growth. The study considered the variables from Pakistani and Japanese markets to see whether the studied variables have any explanatory relationship that may help in formulating policies to enhance and stabilize economic growth. The study took 10 years monthly data related to stock prices of KSE 100 index and NIKKEI 225 index as dependent variable, whereas monthly data of foreign exchange rates of Pakistan and Japan are taken as independent variable. The study used descriptive and inferential statistics to identify and measure the relationship between foreign exchange rates and economic performance. The results depicted that foreign exchange rate is negatively associated to stock market returns and that the exchange rate is an insignificant predictor of stock market returns in case of Pakistani market hence the changes in foreign exchange rate were found to have no effect on economic performance as measured by the stock market returns. In case of Japan foreign exchange rate was found significantly and positively affecting stock market returns and that the changes in foreign exchange rate will also cause changes in stock market returns with an increase in exchange rate causing an increase in economic performance and a decrease in exchange rate causing a decrease in economic performance. Keywords: Stock Returns, Economic Performance, NIKKEI 225, KSE 100

Real interest rate equalization: some empirical evidence from the three major world financial markets

This article examines the linkage of real interest rates of the three major world financial markets (USA, Japan and the UK) with the use of cointegration methods. Unlike previous works, the investigation uses a trivariate vector autoregressive (VAR) model in which a constant term in the common stochastic trends space is excluded. Based on data generated after the liberalization of Japan's foreign exchange market at the end of 1980 (1981:1–1998:12), the article finds some empirical evidence indicating that the extent of the departure from the long-run real interest rate equalization (RIE) is not very large, although the null hypothesis of the long-run RIE is rejected in most cases.

Developing a Forecast System for Hotel Occupancy Rate Using Integrated ARIMA Models

Abstract International tourist hotels play a consequential role in the development of the tourism industry. The occupancy rate is usually considered a pertinent indicator in measuring the performance of the hotels. This study employs the ARIMA and ARIMA transfer function model incorporated with the Box-Cox transformation function for the forecasting of occupancy rate. The results of this research find two explanatory variables strongly affect the occupancy rate: one is the numbers of tourists and the other is the Taiwan/ Japan foreign exchange rate. The forecasting shows slow rising of the occupancy rate for the international hotels in Taiwan; it will reach 64.67% by the year 2000. The forecast of the occupancy rate provides important information tor both government agencies and hotel managers so that corresponding management strategies can be made.

Reviews

Economic RecordVolume 68, Issue 2 p. 180-202 Reviews First published: June 1992 https://doi.org/10.1111/j.1475-4932.1992.tb01762.xAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat Abstract Book reviewed in this article: Game Theory and Economic Modelling, by David M. Krcps Uncertainty in Economics–Readings and Exercises, by P. Diamond and M. Rothschild Retrospectives on Public Finance, edited by L. Eden Handbook of Monetary Economics, by B. M. Friedman and F. H. Hahn The Slate and the Monetary System, by K. Dowd Developments in Australian Monetary Economics, edited by Colm Kearny and Ronald MacDonald Industrial Economics and Organization (2nd edn), by D. A. Hay and D. J. Morris Deregulation or Better Regulation?, edited by B. Head and E. McCoy Aboriginal Employment Equity by the Year 2000, edited by J. C. Altman, Research Monograph No 2, 1991 Upgrading New Zealand's Competitive Advantage, by G. T. Crocombe, M. J. Enright, and M. E. Porter Aid and Development in the South Pacific, Pacific Papers 2, by P. Bauer, S. Siwatibau and W. Kasper Making Economies More Efficient and More Equitable: Factors Determining Income Distribution, edited by Toshiyuki Mizoguchi Japan's Foreign Exchange Policy 1971-82, by R. Komiya and M. Suda Global Linkages: Macroeconomic Interdependence and Cooperation in the World Economy, by W. J. McKibbin and I. D. Sachs Volume68, Issue2June 1992Pages 180-202 RelatedInformation

Japan in the International Setting

The past two years have witnessed serious disruptions in the international monetary and trade systems, and Japan has played a central role in these events. Japan's trade surplus has continued to expand over the past few years; in 1971 it became so large that Japan's foreign exchange reserves more than tripled in one year. The revaluation of the yen at the end of 1971 was intended to rectify this disequilibrium. But Japan's export surplus kept on increasing in 1972, and it led to another revaluation in February 1973 and the floating of the yen. In the course of a year and a half, the value of the yen rose from 360 yen per dollar to 260 yen per dollar.

The Japanese Salmon Fisheries: A Geographic Appraisal

APAN has always been heavily dependent on sea food resources to feed her densely populated islands. Nevertheless, certain branches of the fisheries which had export potential were early developed to increase Japan's foreign exchange earnings. The crab meat and salmon canning industries were two of the most important revenue earners in prewar years. The Japanese salmon fisheries emerged from their age-old, semi-feudal structure only with difficulty. Fishing villages as much as farm villages served local markets to the neglect of inter-regional trade.1 And the potentials of favorable geographical conditions and the salmon resource in Japanese waters led only tardily to a modern canning industry a few steps beyond its old

American Trade and Japanese Aggression

SOBER, factual analysis of American trade relations with Japan since 1937 leads to even more disturbing conclusions than are usually entertained on this important issue. Many Americans are uneasily aware that the United States has been the main supplier of Japan's imports of war materials for these three years, a period in which the destructive Japanese assault on China has been relentlessly pursued. A much smaller number of Americans realize that the United States has also been the principal market for Japanese goods, supplying an overwhelmingly larger share of Japan's foreign exchange than any other country outside the yen bloc. Very few Americans, finally, are conscious of the changing composition of Japanese-American trade, and of the significance of this phenomenon in relation to Japan's industrial structure. These three factors are essential to a rounded treatment, even if only in summary form, of the current status of Japanese-American trade. A balanced picture cannot be obtained unless the United States is constantly regarded both as the prime source of Japan's imports and the largest external (non-yen bloc) market for Japanese goods. The dynamic factor is added by consideration of the new forms, and the special direction, being taken by this trade, which supply indications as to trends for the future. In this article I have made a special effort to marshal the relevant factual data in outline and tabular form. I have necessarily interpreted this material in the light of my own judgments, but trust that the data offered will enable readers to reach their independent conclusions. On the export side, in particular, I have drawn heavily on the bulletins issued by Dr. Hu Tun-yuan, of the Chinese Council for Economic Research, whose accurate and painstaking analyses of JapaneseAmerican trade statistics deserve wider circulation and much greater recognition than they have thus far achieved.