Is the Japanese yen misaligned?

• Project/Area Number: 25380337
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic policy
• Research Institution: Waseda University
• Principal Investigator: Baak SaangJoon 早稲田大学, 国際教養学術院, 教授 (30339923)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Project Status: Completed (Fiscal Year 2015)
• Budget Amount: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2014: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: 円の為替レート / ミスアラインメント / BEER / 円為替レート / ミスアライメント / ヘテロジーニアスな期待 / 市場参加者の合理性 / 実質実効為替レート / 不均一期待モデル

Outline of Final Research Achievements

This paper measures to what extent the real effective exchange rate of the Japanese yen is misaligned from its equilibrium value by estimating the equilibrium value using the behavioral equilibrium exchange rate (BEER) approach. The economic fundamentals such as the terms of trade, the relative price of non-traded to traded goods, and real interest rate differentials are employed to assess the equilibrium exchange rate. The estimation results using the quarterly data from 1990Q1 to 2014Q4 indicate that the actual exchange rate of the Japanese yen was substantially overvalued from 2008Q4 to 2012Q4. In contrast, it was not substantially misaligned from the equilibrium values from 2013Q1 to 2014Q4.

Research Products

• [Journal Article] Is the yen undervalued? (2015)
  • Author(s): Baak, SaangJoon
  • Journal Title: ERINA Discussion Paper Volume: 1503e Pages: 1-21
  • Open Access
• [Presentation] Is the yen undervalued? (2015)
  • Author(s): Baak, S.
  • Organizer: World Congress of Comparative Economics
  • Place of Presentation: Roma Tre University, Rome, Italy
  • Year and Date: 2015-06-25 – 2015-06-27
• [Presentation] Is the yen undervalued? (2015)
  • Author(s): Baak, SaangJoon
  • Organizer: World Congress of Coparative Economics
  • Place of Presentation: Roma Tre University, Italy
  • Year and Date: 2015-06-25
  • Int'l Joint Research
• [Presentation] Is the yen undervalued? (2015)
  • Author(s): Baak, S.
  • Organizer: Korea's Allied Economic Associations Annual Meeting
  • Place of Presentation: Yonsei University, Seoul, Korea
  • Year and Date: 2015-02-24 – 2015-02-25