Purchasing power parity: Granger causality tests for the yen-dollar exchange rate
The 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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- Jose De Gregorio & Alberto Giovannini, 1993. "International Evidence on Tradables and Nontradable Inflation," NBER Working Papers 4438, National Bureau of Economic Research, Inc.
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- Shady Kholdy & Ahmad Sohrabian, 1990. "Exchange Rates and Prices: Evidence from Granger Causality Tests," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 13(1), pages 71-78, October.
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Handbook of International Economics,
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- Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
- Kenichi Ohno, 1990. "Exchange Rate Fluctuations, Pass-Through, and Market Share," IMF Staff Papers, Palgrave Macmillan, vol. 37(2), pages 294-310, June.
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1992.32, School of Economics, La Trobe University.
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- Gunther Schnabl, 2001. "Purchasing Power Parity and the Yen/Dollar Exchange Rate," The World Economy, Wiley Blackwell, vol. 24(1), pages 31-50, 01.
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- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
- Basevi, Giorgio, 1976. " Comment on J. A. Frenkel, "A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence."," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 225-28.
- Cheng, Benjamin S., 1999. "Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 911-924, December.
- Jonathan McCarthy, 2000.
"Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies,"
111, Federal Reserve Bank of New York.
- Jonathan McCarthy, 2007. "Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
- J. McCarthy, 1999. "Pass-through of exchange rates and import prices to domestic inflation in some industrialised economies," BIS Working Papers 79, Bank for International Settlements.
- Hung, Wansing & Kim, Yoonbai & Ohno, Kenichi, 1993. "Pricing exports: a cross-country study," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 3-28, February.
- Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584.
- repec:cup:cbooks:9780521423083 is not listed on IDEAS
- Ohno, Kenichi, 1989. "Testing purchasing power parity and the Dornbusch overshooting model with vector autoregression," Journal of the Japanese and International Economies, Elsevier, vol. 3(2), pages 209-226, June.
- Frenkel, Jacob A., 1981. "The collapse of purchasing power parities during the 1970's," European Economic Review, Elsevier, vol. 16(1), pages 145-165.
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