| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2018: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2017: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
|
|---|
| Outline of Final Research Achievements |
I investigate whether foreign exchange rates have a significant relationship with macroeconomic variables. In particular, I look at the predictability of foreign exchange rates using the frequency domain and band spectral regression to see whether such a relationship exists. I find that utilizing the business cycle frequencies improves the forecasting power of the forecasting models. When the exchange rate of 6 or more months ahead is considered, a model based on purchasing power parity (PPP) outperforms the so-called Taylor rule based model. The PPP based model provides smaller forecasting errors than does the benchmark, random walk model. Such differences in the forecasting errors are found to be statistically significant.
|
