IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Structural Change in Time Series of the Exchange Rates between Yen-Dollar and Yen-Euro in 2001-2004

  • Obara, T.
Registered author(s):

    The economic structural change in the data of the yen exchange rates to US dollar and to euro is investigated. We analyse the distribution of the residuals which are the differences between the smoothed and original data. The probability density function is well approximated by the Gram-Charlier expansion. The existence of the fact that the distribution of the residuals parts from the normal distribution indicates the occurrence of the structural change. Introducing a new index, composed by the skewness and the kurtosis, we can easily find a sign of the structural change. It is shown that both data of the yen-dollar rate and the yen-euro rate from January 2, 2001 to May 18, 2004 undergo the structural changes three times together on May 23, 2001, March 11, 2002, and December 27, 2002.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.usc.es/economet/reviews/ijaeqs133.pdf
    Download Restriction: No

    Article provided by Euro-American Association of Economic Development in its journal International Journal of Applied Econometrics and Quantitative Studies .

    Volume (Year): 1 (2004)
    Issue (Month): 3 ()
    Pages: 61-74

    as
    in new window

    Handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_15
    Contact details of provider: Web page: http://www.usc.es/economet/eaa.htm

    Order Information: Web: http://www.usc.es/economet/info.htm Email:


    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_15. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.