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A Century Plus of Japanese Exchange-Rate Behavior

Japan and the World Economy, Vol. 2, pp. 47-70, February/March 1990

33 Pages Posted: 8 Nov 2004  

James R. Lothian

Gabelli School of Business, Fordham University; National Bureau of Economic Research (NBER)

Abstract

Examination of over a century's worth of annual data for Japan, the United States, the United Kingdom and France reveals a marked tendency for real exchange rates to return to their (measured) equilibrium values. The hypothesis that exchange-rate-adjusted price levels in these countries are not cointegrated is almost always rejected. Similar unit-root tests much more often than not reject the hypothesis of non-stationary (or non-trend-stationary) of real exchange rates. Analysis of earlier periods of floating yen rates - particularly the latter decades of the nineteenth century - points to an important link between monetary conditions and real exchange rate variability.

Suggested Citation

Lothian, James R., A Century Plus of Japanese Exchange-Rate Behavior. Japan and the World Economy, Vol. 2, pp. 47-70, February/March 1990. Available at SSRN: https://ssrn.com/abstract=614047

James R. Lothian (Contact Author)

Gabelli School of Business, Fordham University ( email )

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National Bureau of Economic Research (NBER)

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