WHITHER THE YEN? IMPLICATIONS OF AN INTERTEMPORAL MODEL OF THE YEN/DOLLAR RATE Menzie
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چکیده
This paper documents the evidence for a fiscal model of the Yen/Dollar real exchange rate over the 1974-1994 period. Cointegrating relationships between the real exchange rate and productivity, government spending and the real price of oil are estimated using the Johansen (1988) and Stock-Watson (1993) procedures. The neoclassical fixed-factors fiscal model of Rogoff (1992) is found to have some substantiation in the data. Estimates of the long-run equilibrium exchange rate indicate a current overvaluation of the Yen relative to the US Dollar of approximately 30%.
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تاریخ انتشار 1995