IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/1996-132.html
   My bibliography  Save this paper

Real Exchange Rate Fluctuations and the Business Cycle: Evidence From Japan

Author

Listed:
  • Mr. Eswar S Prasad
  • Mr. Bankim Chadha

Abstract

This paper analyzes the relationship between the real exchange rate and the business cycle in Japan during the floating rate period. A structural vector autoregression is used to identify different types of macroeconomic shocks that determine fluctuations in aggregate output and the real exchange rate. Relative nominal and real demand shocks are found to be the main determinants of variation in real exchange rate changes, while relative output growth is driven primarily by supply shocks. Historical decompositions suggest that the sharp appreciations of the yen in 1993 and 1995 and its subsequent depreciation can be attributed primarily to relative nominal shocks.

Suggested Citation

  • Mr. Eswar S Prasad & Mr. Bankim Chadha, 1996. "Real Exchange Rate Fluctuations and the Business Cycle: Evidence From Japan," IMF Working Papers 1996/132, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:1996/132
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=1906
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    WP; exchange rate; supply shock; price level; business cycle; demand shock; Business cycle fluctuations; real effective exchange rate; structural vector autoregression; real exchange rate; critical value; aggregate price level; depreciated exchange rate; partner country CPI; business cycle dynamics; Real exchange rates; Exchange rates; Real effective exchange rates; Supply shocks; Business cycles; Global;
    All these keywords.

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    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:imf:imfwpa:1996/132. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .

    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.