「女性と経済学」研究部会研究会のご案内（A dynamic econometric system for the Yen-Dollar rate）

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日時：　　　　　１１月１８ 日（月曜日）　１８ ：１５  ?１９：３０

会場：　　　　　１号館２階　第２会議室

研究部会名：　「女性と経済学」研究部会

テーマ：　　　　A dynamic econometric system for the Yen-Dollar rate

発表者： 　　　高垣　勝彦      早稲田大学経済学研究科　博士後期課程

報告言語：　　日本語

概要：

The main objective of this paper is to attempt  constructing a data-congruent, simultaneous equation system based on international linkages between real exchange rates  and economic  fundamentals,  as well as analyzing　 the  effect  of the  zero  interest　 rate  policy  on  the  model.  This paper utilises  Johansen’s theorem and exploits the statistical properties of exogeneity as analytical tools throughout  this  paper. The  result  from rigorous  co-integration  analysis  shows that the zero lower bound interest rate made one of the co-integrating relationships,  estimated  before  quantitative  easing,  powerless  to  explain  the long-run relationship of the real Yen-Dollar rate, due to the presence of the interest rate term structure in the co-integrating relationship. Following the above analysis, this paper finds two alternative co-integrating relationships which explain Japan-US long-run economic linkage based on macroeconomic theories. The first co-integrating relationship is based on the modified UIP relationship, which is the combination of the UIP and PPP with the short-term interest rate differential and a modified current account position.  The second co-integrating relationship incorporates the Fisher equation in addition to the modified UIP. Moreover,  we  find  that  the  modified  current  account  position which was introduced by Kurita (2007) still plays an important role in the co- integrating space although its effect looks becoming weaker over the time.