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The Construction and Analysis of Industry-specific Effective Exchange Rates in Japan

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  • SATO Kiyotaka
  • SHIMIZU Junko
  • Nagendra SHRESTHA
  • Shajuan ZHANG
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    Abstract

    In this paper, we construct the daily nominal effective exchange rate (NEER) of the Japanese yen for eight major manufacturing industries, which provides a better indicator to reflect differences in international competitiveness across industries compared with the conventional NEER. By applying these datasets on stock return and pass-through by industry, we confirm that there are different effects by industry. As the Japanese yen appreciated substantially against the U.S. dollar and other major currencies following the Lehman Brothers collapse in September 2008, it has become increasingly important to watch the daily fluctuations of the Japanese yen, not only at the effective base but also by industry. The daily industry-specific NEER could be reflected in the formulation of policies and can determine which industries should be prioritized in emergency measures against a rising yen.

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    File URL: http://www.rieti.go.jp/jp/publications/dp/12e043.pdf
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    Bibliographic Info

    Paper provided by Research Institute of Economy, Trade and Industry (RIETI) in its series Discussion papers with number 12043.

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    Length: 23 pages
    Date of creation: Jul 2012
    Date of revision:
    Handle: RePEc:eti:dpaper:12043

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    1. 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.
    2. Fernando Alexandre & Pedro Bação & João Cerejeira & Miguel Portela, 2009. "Aggregate and sector-specific exchange rate indexes for the Portuguese economy," NIPE Working Papers 13/2009, NIPE - Universidade do Minho.
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