Dynamics of the yen-dollar real exchange rate and the US-Japan real trade balance

Daryl V. Burckel

43 citations0/0 files storedApplied Economics

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Abstract

This paper employs cointegration and error correction models to examine the dynamics of the yen-dollar real exchange rate and the US-Japan real trade balance. It uses quarterly data from 1973.I–1993.IV. The unit root tests reveal non-stationarity in both the variables. The ADF test fails to affirm any long-run association between the yen-dollar real exchange rate and the US-Japan real trade balance. Also, there is evidence of bidirectional short-run Granger causality between these two variables with mutual feedbacks.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Some recent development in a concept of causality 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1987Forecasting and testing in co-integrated systems 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom 1971Econometric Analysis for National Economic Planning 1993The exchange value of the dollar and the U.S. trade balance: An empirical investigation based on cointegradon and Granger causality tests 1993Budget deficits and the value of the dollar: An application of cointegration and error-correction modeling

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