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Uncertainty over Exchange Rates and Exports (Japanese)

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  • MORIKAWA Masayuki

Abstract

This paper, using a quarterly firm-level survey data during the last decade, analyzes the time-series property of the exchange rate uncertainty and its relationship with exports. Dispersion of firms' expected exchange rate is used as a proxy for uncertainty. Major findings are as follows. First, uncertainty over exchange rates was enhanced after the Lehman Brothers collapse and after the announcement of the recent quantitative and qualitative monetary easing policy. Second, dispersion of expected exchange rates has a positive relationship with the volatility of the past exchange rates, but the dispersion does not have a predictive power over the future exchange rate volatility. Third, expected exchange rates are more dispersed among small and medium-sized enterprises (SMEs) than for large firms. Fourth, we detect some evidence that uncertainty over exchange rates has a negative effect on exports. These findings suggest the importance of international cooperation to stabilize exchange rates and the potential role of market intervention when exchange rate uncertainty is enhanced.

Suggested Citation

  • MORIKAWA Masayuki, 2015. "Uncertainty over Exchange Rates and Exports (Japanese)," Discussion Papers (Japanese) 15051, Research Institute of Economy, Trade and Industry (RIETI).
    • Handle: RePEc:eti:rdpsjp:15051
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