2024 Fiscal Year Research-status Report
From Mystery to Clarity: Unraveling the Exchange Rate Dynamics in Emerging Market Economies
| Project/Area Number |
24K16404
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| Research Institution | Setsunan University |
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Principal Investigator |
羅 鵬飛 摂南大学, 経済学部, 講師 (20881361)
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| Project Period (FY) |
2024-04-01 – 2027-03-31
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| Keywords | exchang rate / global risk / monetary policy |
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| Outline of Annual Research Achievements |
This study aims to (1) investigate the short- and long-term effects of multifaceted global risks on EM exchange rates using diverse global risk indicators; (2) analyze the effects of global and domestic economic forecasts on EM exchange rates using economic survey data; and (3) examine the features and effectiveness of central bank interventions in EM exchange rates and macroeconomic outcomes.
In FY2024, we achieved two main outcomes for research aim (1):
First, we analyzed EM exchange rate responses to global risks in ASEAN+4 economies, considering differences in monetary policy targets and exchange rate regimes. Using country-specific SVARX models, we examined responses to US monetary policy shocks, oil price fluctuations, economic policy uncertainty, and global financial risks. The findings show that exchange rate dynamics depend not only on institutional settings but also on the nature of global shocks, underscoring the need for more tailored and regionally coordinated policies.
Second, we examined the recent yen depreciation in advanced economies through an extended UIP model incorporating global risks and monetary policy expectations. Results revealed that short-term interest rate differentials have limited influence, while global risks and expectations play a more significant role in yen movements.
Preparations for research aims (2) and (3) are underway, with progress made in data collection for aim (3).
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
This research has progressed steadily for the following reasons:
We advanced research aim (1) on the effects of multifaceted global risks on EM exchange rates, resulting in two research papers. The study on ASEAN+4 exchange rates was presented at several conferences (Japan Economics Association, Japan Society of Monetary Economics, East Asian Economic Association), revised, and submitted to a peer-reviewed journal. The study on yen depreciation was presented at JERI and published in the JERI Monthly Report.
Regarding research aim (3), we completed the literature review and data collection on central bank foreign exchange interventions, laying the groundwork for empirical analysis of intervention triggers, effectiveness, and macroeconomic impacts in the next phase.
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| Strategy for Future Research Activity |
Due to an increase in subscription fees for the Economic Consensus database, we will continue seeking alternative data sources for aim (2) research about the effects of economic forecasts on EM exchange rates.
We will prioritize aim (3) research on foreign exchange interventions (FXI).This study will use the constructed FXI database to analyze central bank interventions, focusing on: first, identifying FXI triggers such as FX fluctuations,domestic inflation,and global shocks; second, examining FXI strategies in terms of scale,frequency,and instruments;third, assessing the effectiveness of interventions on exchange rate dynamics,market expectations, macroeconomic outcomes, and reserve levels.The findings will be presented at academic conferences and submitted to peer-reviewed journals.
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| Causes of Carryover |
In this fiscal year, we plan to purchase databases related to economic consensus surveys and acquire necessary hardware and software to support empirical research. Additionally, for disseminating research results, we will allocate funds for travel and participation in domestic and international conferences, as well as for submission and open access fees for academic publications.
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