Add to ORKGThe purpose of this paper is two-fold. First, a vector autoregressive model (VAR) is constructed to investigate the relative importance of monetary and real factors in the determination of the the yen/dollar exchange rate. Second, the forecasts from the VAR model are used to calculate a risk premium series. We show that real factors, represented by the stock price indices, statistically account f9r the dollar appreciation better than monetary factors, represented by the intere5t rates. The dynamic structure of interdependence between the exchange rate and the domestic variables changed considerably after October 1982. The risk premium calculated from the model shows a volatile and time-varying nature. The hypothesis of no risk pr...
The forward rate is often used as the market's prediction of the future spot exchange rate even thou...
Using daily data for 1995–99, this paper estimates a simple forward looking model of the exchange ra...
The survey data of the yen/dollar exchange rate, collected twice a month for eight years from 1985 t...
In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are mode...
In this paper the short- and long-run movements of the Japanese yen–U.S. dollar exchange rate are mo...
In this article, we develop and estimate an econometric panel data model to capture the common dynam...
Using a disaggregate survey database, this paper reexamines the issue of the existence of a time-var...
Previous work on the exposure of firms to exchange rate risk has primarily focused on U.S. firms and...
The history of Japanese exchange rates, though short by British or American standards, is exceedingl...
In this research, we provide new empirical evidence on the importance of time- varying uncertainty f...
This paper sought to address the question as to whether the exchange rate can be forecasted more acc...
After the breakdown of the Bretton Woods system in 1971, the yen exchange rate was allowed to float ...
Using a daily time series front 1983 to 2005 of currency prices in spot and forward USD/Yen markets ...
In this paper, we investigate Japanese yen and U.S. dollar interest rate swap markets during the per...
This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign...
The forward rate is often used as the market's prediction of the future spot exchange rate even thou...
Using daily data for 1995–99, this paper estimates a simple forward looking model of the exchange ra...
The survey data of the yen/dollar exchange rate, collected twice a month for eight years from 1985 t...
In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are mode...
In this paper the short- and long-run movements of the Japanese yen–U.S. dollar exchange rate are mo...
In this article, we develop and estimate an econometric panel data model to capture the common dynam...
Using a disaggregate survey database, this paper reexamines the issue of the existence of a time-var...
Previous work on the exposure of firms to exchange rate risk has primarily focused on U.S. firms and...
The history of Japanese exchange rates, though short by British or American standards, is exceedingl...
In this research, we provide new empirical evidence on the importance of time- varying uncertainty f...
This paper sought to address the question as to whether the exchange rate can be forecasted more acc...
After the breakdown of the Bretton Woods system in 1971, the yen exchange rate was allowed to float ...
Using a daily time series front 1983 to 2005 of currency prices in spot and forward USD/Yen markets ...
In this paper, we investigate Japanese yen and U.S. dollar interest rate swap markets during the per...
This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign...
The forward rate is often used as the market's prediction of the future spot exchange rate even thou...
Using daily data for 1995–99, this paper estimates a simple forward looking model of the exchange ra...
The survey data of the yen/dollar exchange rate, collected twice a month for eight years from 1985 t...