IDEAS home Printed from https://ideas.repec.org/p/kud/kuiedp/0013.html
   My bibliography  Save this paper

Interest Rate and Price Linkages between the USA and Japan: Evidence from the Post-Bretton Woods Period

Author

Listed:
  • Katarina Juselius

    (University of Copenhagen, Institute of Economics)

  • Ronald MacDonald

    (University of Strathclyde, Department of Economics)

Abstract

In this paper we investigate the extent to which a number of key parity conditions hold within and between the USA and Japan. Previous research has demonstrated that the nonstationarity of the "simple" parity conditions was related to the nonstationarity of the real exchange rate, reflecting the very slow adjustment to fundamental real exchange rates. The need to finance the resulting trade deficits seemed to have caused similar nonstationary movements in the long-term bond differential. Support for this proposition is also given in this paper. Furthermore, our results point to a reversal of the linkages partly in the term structure from the long to the short end of the market, partly in the Fisher parities from the nominal interest rate to inflation rate. These results might be important for the conduct of monetary policy which works on the economy through short-term interest rates.

Suggested Citation

  • Katarina Juselius & Ronald MacDonald, 2000. "Interest Rate and Price Linkages between the USA and Japan: Evidence from the Post-Bretton Woods Period," Discussion Papers 00-13, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:0013
    as

    Download full text from publisher

    File URL: http://www.econ.ku.dk/english/research/publications/wp/2000/0013.pdf/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Giuliana Passamani, 2008. "The process of convergence towards the euro for the Visegrad-4 countries," Department of Economics Working Papers 0825, Department of Economics, University of Trento, Italia.
    2. Beckmann, Joscha, 2013. "Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 176-190.
    3. repec:zbw:rwirep:0272 is not listed on IDEAS
    4. Reade, J. James & Volz, Ulrich, 2011. "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, vol. 28(1-2), pages 239-250, January.
    5. Signe Rosenberg, 2015. "The Impact of a Change in Real Estate Value on Private Consumption in Estonia," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(2).
    6. Joscha Beckmann, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 0272, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    7. Mariola Piłatowska & Andrzej Geise, 2021. "Impact of Clean Energy on CO 2 Emissions and Economic Growth within the Phases of Renewables Diffusion in Selected European Countries," Energies, MDPI, vol. 14(4), pages 1-24, February.
    8. Mina Kim & Gue Dae Cho & Won W. Koo, 2004. "Does the Exchange Rate Matter to Agricultural Bilateral Trade between Canada and the U.S.?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 52(1), pages 127-145, March.

    More about this item

    Keywords

    International Parity Conditions;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:0013. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Hoffmann (email available below). General contact details of provider: https://edirc.repec.org/data/okokudk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.