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Regime shift of Japanese foreign exchange policy: some findings

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  • Takeshi Hoshikawa

Abstract

This article examines the regime shift of Japanese foreign exchange policy using monthly data from 1973:1 to 2005:9. We employ the residual-based tests for cointegration with regime shifts proposed by Gregory and Hansen (1996) to detect the change of Japanese exchange rate policy. The result of cointegration test with break shows that exchange rate and Japanese international reserves have long-run relationship.

Suggested Citation

  • Takeshi Hoshikawa, 2012. "Regime shift of Japanese foreign exchange policy: some findings," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 25-28, January.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:1:p:25-28
    DOI: 10.1080/13504851.2011.566003
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    Cited by:

    1. Yutaka Kurihara, 2012. "Exchange rate determination and structural changes in response to monetary policies," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(3), pages 187-196, July.
    2. Yutaka Kurihara & Akio Fukushima, 2015. "Monetary Approach for Determining Exchange Rates and Recent Monetary Policy of Japan," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 4(1), pages 23-31.

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