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Structural Change in Time Series of the Exchange Rates between Yen-Dollar and Yen-Euro in 2001-2004

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  • Obara, T.

Abstract

The economic structural change in the data of the yen exchange rates to US dollar and to euro is investigated. We analyse the distribution of the residuals which are the differences between the smoothed and original data. The probability density function is well approximated by the Gram-Charlier expansion. The existence of the fact that the distribution of the residuals parts from the normal distribution indicates the occurrence of the structural change. Introducing a new index, composed by the skewness and the kurtosis, we can easily find a sign of the structural change. It is shown that both data of the yen-dollar rate and the yen-euro rate from January 2, 2001 to May 18, 2004 undergo the structural changes three times together on May 23, 2001, March 11, 2002, and December 27, 2002.

Suggested Citation

  • Obara, T., 2004. "Structural Change in Time Series of the Exchange Rates between Yen-Dollar and Yen-Euro in 2001-2004," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(3), pages 61-74.
    • Handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_15
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    References listed on IDEAS

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    1. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Obara, T., 2005. "Intervention of Japanese Monetary Authority in the Foreign Exchange Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 73-86.

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    More about this item

    Keywords

    structural change; Gram-Charlier expansion; exchange rates; skewness and kurtosis;
    All these keywords.

    JEL classification:

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

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