2019 Fiscal Year Annual Research Report

Was there a structural break in the impacts of exchange rates on the machinery exports of Japan to the US?

Research Project

Project/Area Number	17K03728
Research Institution	Waseda University
Principal Investigator	Baak SaangJoon 早稲田大学, 国際学術院, 教授 (30339923)
Project Period (FY)	2017-04-01 – 2020-03-31
Keywords	exchange rate / yen / export price / structural break
Outline of Annual Research Achievements	The estimation results for the period from 2002Q1 to 2018Q3 indicate that a 1% depreciation of the Japanese yen reduces the Japanese export price by 0.25%. However, when the whole period is split into two sub-periods, it was found that the impact of exchange rates altered. For the pre-Great recession period (2002Q1 to 2017Q4), a 1% depreciation of the Japanese yen reduces the Japanese export price by 0.38%. On the contrary, for the post-Great recession period (2012Q1 to 2018Q3), the impact of the Japanese yen turned out to be positive but highly insignificant. (The p-value is 88%). Those findings indicate that the machinery export prices decreased as the yen depreciated before the Great Recession, but it was not affected by the yen value after the Great Recession. The results were presented at the 14th Annual Conference of the Asia-Pacific Economic Association.

(3 results)