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The Evolution of the Exchange Rate Pass-Through in Japan:A Re-evaluation Based on Time-Varying Parameter VARs

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  • Etsuro Shioji

    (Professor, Faculty of Economics, Hitotsubashi University)

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    Abstract

    This paper re-examines the evolution over time of influences of the Japanese exchange rate on its exports, imports, and domestic prices. By employing the time varying parameter VAR (vector autoregression) method, this study reveals the timings of the pass-through rates changed and by how much. The sample period is January 1980 through January 2010. It shows that the pass-through rates on both import and domestic prices trended down throughout much the sample period. While the pass-through rate on domestic prices experienced a sharp decline during the 1980s and continued to decline gradually afterwards, the rate on import prices went through the second sharp decline in the latter half of the 1990s. In contrast, the pass-through rate on export prices increased, especially during the 1980s.

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    File URL: http://www.mof.go.jp/english/pri/publication/pp_review/ppr015/ppr015d.pdf
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    Bibliographic Info

    Article provided by Policy Research Institute, Ministry of Finance Japan in its journal Public Policy Review.

    Volume (Year): 8 (2012)
    Issue (Month): 1 (June)
    Pages: 67-92

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    Handle: RePEc:mof:journl:ppr015d

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Etsuro Shioji & Taisuke Uchino, 2011. "Pass-Through of Oil Prices to Japanese Domestic Prices," NBER Chapters, in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 155-189 National Bureau of Economic Research, Inc.
    2. Rebecca Hellerstein & Deirdre Daly & Christina Marsh, 2006. "Have U.S. import prices become less responsive to changes in the dollar?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Sep).
    3. Toshitaka Sekine, 2006. "Time-varying exchange rate pass-through: experiences of some industrial countries," BIS Working Papers 202, Bank for International Settlements.
    4. Otani, Akira & Shiratsuka, Shigenori & Shirota, Toyoichiro, 2003. "The Decline in the Exchange Rate Pass-Through: Evidence from Japanese Import Prices," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(3), pages 53-81, October.
    5. Mario Marazzi & Nathan Sheets & Robert J. Vigfusson & Jon Faust & Joseph Gagnon & Jaime Marquez & Robert F. Martin & Trevor Reeve & John Rogers, 2005. "Exchange rate pass-through to U.S. import prices: some new evidence," International Finance Discussion Papers 833, Board of Governors of the Federal Reserve System (U.S.).
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