Comparative Empirical Research on Macroeconomic Effects of Exchange Rate Policy

在思考如何从过去10年的长期停滞中实现持续的经济复苏时，了解汇率政策的宏观经济效果非常重要。本研究项目旨在对日本汇率政策的宏观经济影响进行广泛的实证研究。为此，我们采用时间序列方法，并采用多变量向量自回归（VAR）框架。基准模型由使用生产函数法推算的GDP缺口、汇率（日元对美元汇率）、利率（真实的拆借利率）、股票价格（真实的日经平均指数）4个系列构成。我们计算结构扰动的脉冲响应函数。实证分析的主要结论是，汇率冲击（日元贬值冲击）对GDP缺口的影响是负面的，特别是在中长期。为了检查我们发现的稳健性，我们检查了不同的样本期（1983-1995年和1993-2004年）和替代国内生产总值差距系列（基于Hodrick和Prescott滤波器），但结果并没有受到影响。我们的主要结果表明，“支出转换效应”在日本，日元贬值的影响可能非常有限，尤其是近年来，可能会被成本推动效应或贸易的负面影响。这意味着一些经济学家提出的日元有意贬值政策对日本经济的影响可能非常有限。

It is highly important to understand macroeconomic effects of exchange rate policy in Japan in contemplating a possible way to accomplish sustained economic recovery from the prolonged stagnation over the last decade. This research project aims to conduct an extensive empirical research on macroeconomic impacts of Japan's exchange rate policy. To this end, we employ a time-series method and adopt a multivariate vector-autoregressive (VAR) framework. The benchmark model consists of the following four series: GDP gap estimated using a production function approach, exchange rate (yen-dollar rate), interest rate (real call rate), and stock prices (real Nikkei Average). We compute impulse response functions of structural disturbances. The data we use is for the period of 1983-2004.The main finding of our empirical analysis is that exchange rate shocks (yen depreciation shocks) have a negative impact on GDP gap especially in the medium and long run. To check robustness of our finding, we examine different sample periods (1983-1995, and 1993-2004) and alternative GDP gap series (based on Hodrick and Prescott filter), but the result was unaffected.Our main results suggest that "spending switch effects" of yen depreciation might be very limited in Japan especially in recent years and possibly outweighed by negative effects such as cost push effects or negative terms of trade effects. This implies that deliberate yen depreciation policy, which was proposed by some economists, is likely to have a very limited effect on the Japanese economy.