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Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model

Author

Listed:
  • Nakajima, Jouchi
  • Watanabe, Toshiaki

Abstract

Exports are influenced by exchange rates and overseas economies, and the degree of influence may change over time. This article conducts a quantitative analysis of real exports from Japan using a time-varying parameter vector autoregressive model to take account of structural changes. Empirical analysis provides evidence that the influence of exchange rates and overseas economies on real exports from Japan differs much depending on time. During the economic recovery period since 2013, the influence of exchange rates decreased while that of overseas economies increased.

Suggested Citation

  • Nakajima, Jouchi & Watanabe, Toshiaki, 2017. "Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model," Economic Review, Hitotsubashi University, vol. 68(3), pages 237-249, July.
    • Handle: RePEc:hit:ecorev:v:68:y:2017:i:3:p:237-249
    DOI: 10.15057/28702
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    Cited by:

    1. Yosuke Okazaki & Nao Sudo, 2018. "Natural Rate of Interest in Japan -- Measuring its size and identifying drivers based on a DSGE model --," Bank of Japan Working Paper Series 18-E-6, Bank of Japan.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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