The Evolution of the Exchange Rate Pass-Through in Japan:A Re-evaluation Based on Time-Varying Parameter VARs
This paper re-examines the evolution over time of influences of the Japanese exchange rate on its exports, imports, and domestic prices. By employing the time varying parameter VAR (vector autoregression) method, this study reveals the timings of the pass-through rates changed and by how much. The sample period is January 1980 through January 2010. It shows that the pass-through rates on both import and domestic prices trended down throughout much the sample period. While the pass-through rate on domestic prices experienced a sharp decline during the 1980s and continued to decline gradually afterwards, the rate on import prices went through the second sharp decline in the latter half of the 1990s. In contrast, the pass-through rate on export prices increased, especially during the 1980s.
Volume (Year): 8 (2012)
Issue (Month): 1 (June)
|Contact details of provider:|| Web page: http://www.mof.go.jp/pri/|
More information through EDIRC
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.:
- Obstfeld, Maurice & Rogoff, Kenneth, 1995.
"Exchange Rate Dynamics Redux,"
Journal of Political Economy,
University of Chicago Press, vol. 103(3), pages 624-660, June.
- Maurice Obstfeld & Kenneth Rogoff, 1994. "Exchange Rate Dynamics Redux," NBER Working Papers 4693, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Rogoff, Kenneth S., 1995. "Exchange Rate Dynamics Redux," Scholarly Articles 12491026, Harvard University Department of Economics.
- Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," Center for International and Development Economics Research (CIDER) Working Papers 233403, University of California-Berkeley, Department of Economics.
- Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," CEPR Discussion Papers 1131, C.E.P.R. Discussion Papers.
- Maurice Obstfeld and Kenneth Rogoff., 1995. "Exchange Rate Dynamics Redux," Center for International and Development Economics Research (CIDER) Working Papers C95-048, University of California at Berkeley.
- Etsuro Shioji & Taisuke Uchino, 2011. "Pass-Through of Oil Prices to Japanese Domestic Prices," NBER Chapters,in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 155-189 National Bureau of Economic Research, Inc.
- Etsuro Shioji & Taisuke Uchino, 2010. "Pass-Through of Oil Prices to Japanese Domestic Prices," NBER Working Papers 15888, National Bureau of Economic Research, Inc.
- SHIOJI Etsuro & VU Tuan Khai & TAKEUCHI Hiroko, 2007. "Macroeconomic Implications of Declines in Nominal Exchange Rate Pass-through Rates (Japanese)," Discussion Papers (Japanese) 07024, Research Institute of Economy, Trade and Industry (RIETI).
- Rebecca Hellerstein & Deirdre Daly & Christina Marsh, 2006. "Have U.S. import prices become less responsive to changes in the dollar?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Sep).
- Otani, Akira & Shiratsuka, Shigenori & Shirota, Toyoichiro, 2003. "The Decline in the Exchange Rate Pass-Through: Evidence from Japanese Import Prices," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(3), pages 53-81, October.
- Toshitaka Sekine, 2006. "Time-varying exchange rate pass-through: experiences of some industrial countries," BIS Working Papers 202, Bank for International Settlements.
- Mario Marazzi & Nathan Sheets & Robert J. Vigfusson & Jon Faust & Joseph E. Gagnon & Jaime R. Marquez & Robert F. Martin & Trevor A. Reeve & John H. Rogers, 2005. "Exchange rate pass-through to U.S. import prices: some new evidence," International Finance Discussion Papers 833, Board of Governors of the Federal Reserve System (U.S.). Full references (including those not matched with items on IDEAS)