2022 Fiscal Year Final Research Report
The Mechanism of Exchange Rate and Current Account Flucturations
| Project/Area Number |
19K01673
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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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| Review Section |
Basic Section 07040:Economic policy-related
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| Research Institution | Shiga University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
zhai 唯揚 富山大学, 学術研究部社会科学系, 助教 (80966333)
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| Project Period (FY) |
2019-04-01 – 2023-03-31
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| Keywords | 経常収支 / 貿易収支 / 所得収支 / 構造VAR / 為替レートパススルー |
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| Outline of Final Research Achievements |
We have published five research papers.One of them is published in the Journal of International Money and Finance and another one is published as a book chapter in the edited research book in English. All five studies are presented in numerous research workshop and conferences in Japan and overseas.
The first study applied Glick and Rogoff (1995) model to the BRICS countries and we found that different current account mechanism work for advanced countries and developing countries. The second study applied time-varying parameter VAR model to exchange rate, import price, domestic wholesale price, and core-CPI. We found evidence that exchange rate pass-through on core-CPI is negligible. The third study investigated the decomposed current accout, i.e, trade balance and primary income balance, by 9-variable structural VAR model. We have investigated two other studies.
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| Free Research Field |
国際金融、国際経済、国際マクロ
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| Academic Significance and Societal Importance of the Research Achievements |
国際収支調整メカニズムに関しての新しい知見を得られることが出来た。(1)先進国と発展途上国では異なる経常収支調整メカニズムが働いている。特に、生産性ショックの影響は先進国にとっては重要であるが、発展途上国にとっては影響が小さい。(2)日本においては、為替レートの影響が国内消費者物価指数に与える影響は非常に小さい。(3)しかし、それは構造ショックによって異なり、国内需要ショックが逆の影響を与えているために、総合的には小さくなっていることが示された。これらの研究結果を踏まえて、政策当局は2023年以降の金融・財政政策を運営する必要がある。
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