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円安政策の効果, The Effects of Yen Depreciation Policy in Japan

Author

Listed:
  • Miyao, Ryuzo

Abstract

円安誘導は，低迷する日本経済において需要創出効果が期待される数少ない政策オプションの1つである．本稿では，わが国における円安政策の効果を実証的に検討する．分析手法としては，為替レート，輸出，輸入そして金利（および生産）に基づく単純なベクトル自己回帰 (vector autoregression, VAR) モデルを利用する．1975年から2001年の全期間について，為替（円安）ショックは，輸入を大きく減少させる一方，輸出に対しては有意な影響を及ぼさなかった．一方，輸出主導の成長が顕著であったとされる1980年代半ば（プラザ合意前後）までの期間では，輸出に対しても一定の効果があることが認められた．構造変化の可能性は，誘導形モデルに基づく安定性テストからも確認された．為替の変化が輸出に大きな効果をもたらすという仮説は，少なくとも近年のデータを見る限り自明ではなく，より慎重な政策判断が求められる．, Many observers view yen depreciation as one of the most effective policy options to stimulate aggregate demand in Japan. The paper empirically examines this view using a simple vector autoregression (VAR) model of the exchange rate, exports, imports and interest rates (or real output). When the full sample of 1975-2001 is used, an exchange rate (yen depreciation) shock is followed by a substantial decrease in imports, while no significant effects on exports are detected. Exchange rate shocks have a certain impact on exports before the mid 1980s when the Plaza Agreement took place. A formal stability analysis also supports the presence of a possible structural shift in the reduced form model. These results suggest that the argument that yen depreciation will increase exports and jump-start the economy may not be as valid as many would believe. More careful discussions are needed in evaluating policy alternatives that can help attain sustained economic recovery in Japan.

Suggested Citation

  • Miyao, Ryuzo, 2003. "円安政策の効果, The Effects of Yen Depreciation Policy in Japan," Economic Review, Hitotsubashi University, vol. 54(2), pages 114-125, April.
    • Handle: RePEc:hit:ecorev:v:54:y:2003:i:2:p:114-125
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    Cited by:

    1. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
    2. Nagayasu, Jun, 2007. "Empirical analysis of the exchange rate channel in Japan," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 887-904, October.
    3. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
    4. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
    5. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.

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