部会名：女性と経済学研究部会（部会主任：上田 貴子）
日 時：１１月１８日（月）18:15-19:30
場 所：早稲田大学 現代政治経済研究所会議室（1号館２階）
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）
対象：学生・教職員・研究部会員・一般
※報告言語：日本語
Abstract
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.
