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Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar

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  • Obara, T.

Abstract

Fluctuations of yen exchange rate to US-dollar are analyzed by a method of classical mechanics. The fluctuations are explained by a linear inhomogeneous differential equation of the second order with a constant coefficient. The inhomogeneous term is an external force. Using a method of the least squares, we determine a polynomial expression of the external force. It is known that the depreciation of yen is caused by decreasing of the external force toward its minimum.

Suggested Citation

  • Obara, T., 2004. "Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1).
    • Handle: RePEc:eaa:aeinde:v:4:y:2004:i:1_6
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    References listed on IDEAS

    as
    1. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
    2. Cheung, Yin-Wong & Lai, Kon S., 2001. "Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 115-132, February.
    3. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
    4. Obara, Takashi, 2003. "Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).
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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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