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Abstract

Vol. 68, No. 3, pp. 237-249 (2017)

“Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model”
Jouchi Nakajima (Bank for International Settlements), Toshiaki Watanabe (Institute of Economic Research, Hitotsubashi University)

Exports are influenced by exchange rates and overseas economies, and the degree of influence may change over time. This article conducts a quantitative analysis of real exports from Japan using a time-varying parameter vector autoregressive model to take account of structural changes. Empirical analysis provides evidence that the influence of exchange rates and overseas economies on real exports from Japan differs much depending on time. During the economic recovery period since 2013, the influence of exchange rates decreased while that of overseas economies increased.