{"id":993,"date":"2013-11-11T18:28:14","date_gmt":"2013-11-11T09:28:14","guid":{"rendered":"http:\/\/www.waseda.jp\/fpse\/winpec\/?p=993"},"modified":"2014-11-28T09:13:10","modified_gmt":"2014-11-28T00:13:10","slug":"%ef%bc%91%ef%bc%91%e6%9c%88%ef%bc%91%ef%bc%98%e6%97%a5%ef%bc%88%e6%9c%88%ef%bc%89%e5%a5%b3%e6%80%a7%e3%81%a8%e7%b5%8c%e6%b8%88%e5%ad%a6%e3%80%80%e7%a0%94%e7%a9%b6%e9%83%a8%e4%bc%9a%ef%bc%88%e9%83%a8","status":"publish","type":"post","link":"https:\/\/www.waseda.jp\/fpse\/winpec\/news\/2013\/11\/11\/993\/","title":{"rendered":"\uff11\uff11\u6708\uff11\uff18\u65e5\uff08\u6708\uff09\u5973\u6027\u3068\u7d4c\u6e08\u5b66\u3000\u7814\u7a76\u90e8\u4f1a\uff08\u90e8\u4f1a\u4e3b\u4efb\uff1a\u4e0a\u7530 \u8cb4\u5b50\uff09\u7814\u7a76\u4f1a\u958b\u50ac\u306e\u304a\u77e5\u3089\u305b"},"content":{"rendered":"<p>\u90e8\u4f1a\u540d\uff1a\u5973\u6027\u3068\u7d4c\u6e08\u5b66\u7814\u7a76\u90e8\u4f1a\uff08\u90e8\u4f1a\u4e3b\u4efb\uff1a\u4e0a\u7530 \u8cb4\u5b50\uff09<\/p>\n<p>\u65e5\u3000\u6642\uff1a\uff11\uff11\u6708\uff11\uff18\u65e5\uff08\u6708\uff0918:15-19:30<\/p>\n<p>\u5834\u3000\u6240\uff1a\u65e9\u7a32\u7530\u5927\u5b66 \u73fe\u4ee3\u653f\u6cbb\u7d4c\u6e08\u7814\u7a76\u6240\u4f1a\u8b70\u5ba4\uff081\u53f7\u9928\uff12\u968e\uff09<\/p>\n<p>\u30c6\u30fc\u30de\uff1aA dynamic econometric system for the Yen-Dollar rate<\/p>\n<p>\u767a\u8868\u8005\uff1a\u9ad8\u57a3 \u52dd\u5f66\uff08\u65e9\u7a32\u7530\u5927\u5b66\u7d4c\u6e08\u5b66\u7814\u7a76\u79d1\u3000\u535a\u58eb\u5f8c\u671f\u8ab2\u7a0b\uff09<\/p>\n<p>\u5bfe\u8c61\uff1a\u5b66\u751f\u30fb\u6559\u8077\u54e1\u30fb\u7814\u7a76\u90e8\u4f1a\u54e1\u30fb\u4e00\u822c<\/p>\n<p>\u203b\u5831\u544a\u8a00\u8a9e\uff1a\u65e5\u672c\u8a9e<\/p>\n<p>Abstract<\/p>\n<p>The main objective of this paper is to attempt\u00a0 constructing a data-congruent, simultaneous<br \/>\nequation system based on international linkages between real exchange rates\u00a0 and economic<br \/>\nfundamentals,\u00a0 as well as analyzing\u3000 the\u00a0 effect\u00a0 of the\u00a0 zero\u00a0 interest\u3000 rate\u00a0 policy<br \/>\non\u00a0 the\u00a0 model.\u00a0 This paper utilises\u00a0 Johansen\u2019s theorem and exploits the statistical<br \/>\nproperties of exogeneity as analytical\u3000tools throughout\u00a0 this\u00a0 paper. The\u00a0 result\u00a0 from<br \/>\nrigorous\u00a0 co-integration\u00a0 analysis\u00a0 shows that the zero lower bound interest rate made one<br \/>\nof the co-integrating relationships,\u00a0 estimated\u3000before\u00a0 quantitative\u00a0 easing,\u00a0 powerless<br \/>\nto\u00a0 explain\u00a0 the long-run relationship of the real Yen-Dollar rate, due to the presence<br \/>\nof the interest rate term structure in the co-integrating relationship. Following the above<br \/>\nanalysis, this paper finds two alternative co-integrating relationships which explain<br \/>\nJapan-US long-run economic linkage based on macroeconomic theories. The first co-integrating<br \/>\nrelationship is based on the modified UIP relationship, which is the combination of<br \/>\nthe UIP and PPP with the short-term interest rate differential and a modified current<br \/>\naccount position.\u00a0 The second co-integrating relationship incorporates the Fisher equation<br \/>\nin addition to the modified UIP. Moreover,\u00a0 we\u00a0 find\u00a0 that\u00a0 the\u00a0 modified\u00a0 current\u00a0 account<br \/>\nposition which was introduced by Kurita (2007) still plays an important role in the<br \/>\nco- integrating space although its effect looks becoming weaker over the time.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u90e8\u4f1a\u540d\uff1a\u5973\u6027\u3068\u7d4c\u6e08\u5b66\u7814\u7a76\u90e8\u4f1a\uff08\u90e8\u4f1a\u4e3b\u4efb\uff1a\u4e0a\u7530 \u8cb4\u5b50\uff09 \u65e5\u3000\u6642\uff1a\uff11\uff11\u6708\uff11\uff18\u65e5\uff08\u6708\uff0918:15-19:30 \u5834\u3000\u6240\uff1a\u65e9\u7a32\u7530\u5927\u5b66 \u73fe\u4ee3\u653f\u6cbb\u7d4c\u6e08\u7814\u7a76\u6240\u4f1a\u8b70\u5ba4\uff081\u53f7\u9928\uff12\u968e\uff09 \u30c6\u30fc\u30de\uff1aA dynamic econometric sy [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[1],"tags":[18],"class_list":["post-993","post","type-post","status-publish","format-standard","hentry","category-news","tag-events","lang-ja"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts\/993","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/comments?post=993"}],"version-history":[{"count":4,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts\/993\/revisions"}],"predecessor-version":[{"id":1947,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts\/993\/revisions\/1947"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/media?parent=993"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/categories?post=993"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/tags?post=993"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}