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The Real Yen Exchange Rate and Japanese Productivity Growth

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  • Ceglowski, Janet
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    Abstract

    This study investigates the time-series properties of five real yen exchange rates by testing for stationarity in the context of a single structural shift. It finds that all but one of the series are stationary in conjunction with a trend- or mean-break in the late 1950s or early 1970s. By comparison, most real rates for five other industrialized countries are stationary around a constant mean. These findings suggest that the behavior of the real yen exchange rate is unique among the six currencies in the sample, a difference that may originate in the exceptional productivity performance of the Japanese traded-goods sector. Copyright 1996 by Blackwell Publishing Ltd.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Review of International Economics.

    Volume (Year): 4 (1996)
    Issue (Month): 1 (February)
    Pages: 54-63

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    Handle: RePEc:bla:reviec:v:4:y:1996:i:1:p:54-63

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576

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    Cited by:
    1. Georgios Chortareas & George Kapetanios, 2004. "The Yen Real Exchange Rate may be Stationary after all: Evidence from Non-linear Unit-root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 113-131, 02.
    2. Gunther Schnabl, 2004. "Weak Economy and Strong Currency - The Origins of the Strong Yen in the 1990s," International Finance 0404017, EconWPA.
    3. Schnabl, Gunther & Baur, Dirk, 2002. "Purchasing power parity: Granger causality tests for the yen-dollar exchange rate," Japan and the World Economy, Elsevier, vol. 14(4), pages 425-444, December.
    4. Kawai, Masahiro & Ohara, Hidetaka, 1997. "Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 523-547, December.
    5. Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.

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