2019 Fiscal Year Final Research Report
Was there a structural break in the impacts of exchange rates on the machinery exports of Japan to the US?
| Project/Area Number |
17K03728
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Keywords | export prices / yen / exchange rates / structural model / system GMM |
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| Outline of Final 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.
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| Free Research Field |
経済学
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| Academic Significance and Societal Importance of the Research Achievements |
The biggest value-added of the research is that it estimated a structural export model in which both the quantity and the price are dependent variables. The findings of the research show that Japanese exports did not increase after 2002 because export prices did not respond yen’s depreciation.
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