Is the Japanese yen misaligned?

2015 Fiscal Year Final Research Report

• 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
• Keywords: 円の為替レート / ミスアラインメント / BEER

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.

Free Research Field

経済学