This paper constructs a theoretical model of political business cycles in a Parliamentary system and tests predictions and hypotheses of a theoretical model against the post-war Japanese data. Unlike in a presidential system, the timing of a general election is an endogenous policy variable in a...

This paper investigates determinants of yen appreciation from the G5 agreement of September 1985 to the end of May, 1986. During that period, four waves of appreciation separated by calm periods are identified. For each wave and calm period, the changes in the yen/dollar exchange rate are...

In this paper, a vector autoregression model (VAR) is proposed in order to test uncovered interest parity (UIP) in the foreign exchange market. Consider a VAR system of the spot exchange rate (yen/dollar), the domestic (US) interest rate and the foreign (Japanese) interest rate, describing the...

This paper examines covered interest parity between Yen-denominated and dollar-denominated assets: Euro-yen and Euro-dollar three month deposit rates,and the representative and comparable three-month interest rates in Japan andin the U.S. An objective of this paper is to single out the portion...

There are a couple of well-known unsatisfactory properties in the notion of effective demand defined by Benassy and one by Dreze. This is why recent authors in disequilibrium analysis study the stochastic rationing mechanism. Douglas Gale proved the existence of the equilibrium with stochastic...

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...

Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a "run" -- continuous increases or decreases in deal prices for the past several ticks -- does have some predictable information on the direction of the next price movement. Deal...

This paper considers a theoretical model to examine an optimal exchange rate regime for (Asian) emerging market economies that export goods to the U.S., Japan, and neighboring countries. The optimality of the exchange rate regime is defined as minimizing the fluctuation of trade balances, in the...