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Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar

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  • Obara, T.

Abstract

Fluctuations of yen exchange rate to US-dollar are analyzed by a method of classical mechanics. The fluctuations are explained by a linear inhomogeneous differential equation of the second order with a constant coefficient. The inhomogeneous term is an external force. Using a method of the least squares, we determine a polynomial expression of the external force. It is known that the depreciation of yen is caused by decreasing of the external force toward its minimum.

Suggested Citation

  • Obara, T., 2004. "Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1).
    • Handle: RePEc:eaa:aeinde:v:4:y:2004:i:1_6
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    1. repec:bla:scandj:v:78:y:1976:i:2:p:200-224 is not listed on IDEAS
    2. Obara, Takashi, 2003. "Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).
    3. Cheung, Yin-Wong & Lai, Kon S., 2001. "Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 115-132, February.
    4. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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