Purchasing Power Parity: Granger Causality Tests for the Yen- Dollar Exchange Rate
AbstractThe paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the appreciation of the Japanese yen forced the Japanese enterprises into price reductions and productivity increases, which put a floor under the high level of the yen and thus initiated rounds of appreciation. This corresponds to the conjecture of a vicious (virtuous) circle of appreciation and price adaptation.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0506006.
Length: 22 pages
Date of creation: 15 Jun 2005
Date of revision:
Note: Type of Document - pdf; pages: 22
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yen; yen-dollar exchange rate; purchasing power parity; Granger causality test;
Other versions of this item:
- Schnabl, Gunther & Baur, Dirk, 2002. "Purchasing power parity: Granger causality tests for the yen-dollar exchange rate," Japan and the World Economy, Elsevier, vol. 14(4), pages 425-444, December.
- Schnabl, Gunther & Baur, Dirk, 2001. "Purchasing power parity: Granger causality tests for the yen-dollar exchange rate," TÃ¼binger DiskussionsbeitrÃ¤ge 213, University of Tübingen, School of Business and Economics.
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-27 (All new papers)
- NEP-IFN-2005-06-27 (International Finance)
- NEP-MON-2005-06-27 (Monetary Economics)
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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