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Real Exchange Rate Fluctuations and the Business Cycle Evidence From Japan

This paper analyzes the relationship between the real exchange rate and the business cycle in Japan during the floating rate period. A structural vector autoregression is used to identify different types of macroeconomic shocks that determine fluctuations in aggregate output and the real exchange ra...

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Bibliographic Details
Main Author: Prasad, Eswar
Other Authors: Chadha, Bankim
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1996
Series:IMF Working Papers
Subjects:
Supply And Demand
Business Cycles
Economic Theory
Currency; Foreign Exchange
Real Effective Exchange Rates
Supply Shocks
Open Economy Macroeconomics
Economic Theory & Philosophy
Foreign Exchange
Cycles
Economic Growth
Macroeconomics
Prices
Business Fluctuations
Real Exchange Rates
Agriculture: Aggregate Supply And Demand Analysis
Prices, Business Fluctuations, And Cycles: General (includes Measurement And Data)
Exchange Rates
Japan
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper analyzes the relationship between the real exchange rate and the business cycle in Japan during the floating rate period. A structural vector autoregression is used to identify different types of macroeconomic shocks that determine fluctuations in aggregate output and the real exchange rate. Relative nominal and real demand shocks are found to be the main determinants of variation in real exchange rate changes, while relative output growth is driven primarily by supply shocks. Historical decompositions suggest that the sharp appreciations of the yen in 1993 and 1995 and its subsequent depreciation can be attributed primarily to relative nominal shocks
Physical Description:34 pages
ISBN:9781451855333

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