IDEAS home Printed from https://ideas.repec.org/a/eaa/aeinde/v4y2004i1_6.html
   My bibliography  Save this article

Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar

Author

Listed:
  • Obara, T.

Abstract

Fluctuations of yen exchange rate to US-dollar are analyzed by a method of classical mechanics. The fluctuations are explained by a linear inhomogeneous differential equation of the second order with a constant coefficient. The inhomogeneous term is an external force. Using a method of the least squares, we determine a polynomial expression of the external force. It is known that the depreciation of yen is caused by decreasing of the external force toward its minimum.

Suggested Citation

  • Obara, T., 2004. "Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1).
    • Handle: RePEc:eaa:aeinde:v:4:y:2004:i:1_6
    as

    Download full text from publisher

    File URL: http://www.usc.es/economet/reviews/aeid416.pdf
    Download Restriction: No
    ---><---

    References listed on IDEAS

    as
    1. Cheung, Yin-Wong & Lai, Kon S., 2001. "Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 115-132, February.
    2. repec:bla:scandj:v:78:y:1976:i:2:p:200-224 is not listed on IDEAS
    3. Obara, Takashi, 2003. "Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).
    4. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    2. George Kapetanios & Yongcheol Shin, 2003. "Testing for Nonstationary Long Memory against Nonlinear Ergodic Models," Working Papers 500, Queen Mary University of London, School of Economics and Finance.
    3. Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
    4. Okimoto, Tatsuyoshi & Shimotsu, Katsumi, 2010. "Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 395-411, September.
    5. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. António Portugal Duarte & Fátima Sol Murta & Nuno Baetas Silva, 2025. "Will the euro replace the U.S. dollar as the leading international currency? A volatility analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 1-27, March.
    7. Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
    8. N. Nergiz Dincer & Zeynel Ozdemir, 2009. "The quality of fiscal adjustment: an empirical analysis of Turkey," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 12(2), pages 111-126.
    9. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
    10. Tatsuyoshi Okimoto & Katsumi Shimotsu, 2007. "Financial Market Integration And World Economic Stabilization Toward Purchasing Power Parity," Working Paper 1138, Economics Department, Queen's University.
    11. Neeraj, & Panigrahi, Prasanta K., 2017. "Causality and correlations between BSE and NYSE indexes: A Janus faced relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 284-313.
    12. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
    13. Verma, Rahul & Verma, Priti, 2007. "Noise trading and stock market volatility," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 231-243, July.
    14. Nautz, Dieter & Scheithauer, Jan, 2011. "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
    15. Qin, Meng & Su, Chi-Wei & Tao, Ran, 2021. "BitCoin: A new basket for eggs?," Economic Modelling, Elsevier, vol. 94(C), pages 896-907.
    16. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
    17. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
    18. Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.
    19. Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(4), pages 429-445, December.
    20. Sideris, Dimitrios, 2006. "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 143-154, April.

    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:4:y:2004:i:1_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: M. Carmen Guisan (email available below). General contact details of provider: http://www.usc.es/economet/eaa.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.