Comparative Empirical Research on Macroeconomic Effects of Exchange Rate Policy

在考虑从过去十年的长期停滞中实现持续经济复苏的可能方式时，了解日本汇率政策的宏观经济影响非常重要。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，并采用多元向量自回归（VAR）框架。基准模型由以下四个系列组成：使用生产函数方法估算的GDP缺口，汇率（日元-美元汇率），利率（实际隔夜拆借利率）和股票价格（实际日经平均指数）。我们计算了结构扰动的脉冲响应函数。我们使用的数据是1983-2004年期间的。我们的实证分析的主要发现是汇率冲击（日元贬值冲击）对GDP缺口有负面影响，特别是在中长期。为了检验我们发现的稳健性，我们检验了不同的样本时期（1983-1995年和1993-2004年）和替代的GDP差距序列（基于Hodrick和Prescott滤波器），但结果没有受到影响。我们的主要结果表明，日元贬值的“支出转换效应”在日本可能非常有限，特别是在最近几年，可能被成本推动效应或负面贸易条件效应等负面影响所抵消。这意味着，一些经济学家提出的有意的日元贬值政策，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.