為替レートの計量モデル分析

概要

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This paper analyzes the influence of exchange-rate fluctuations upon GDP, unemployment prices and current account balance - namely fundamentals of Japanese economy. In this analysis, it is necessary to emphasize the interdependent relationship of prices, wage rate and profit rate. The method of this analysis is the simulation using a macro econometric model which consists of 28 behavior equations. The simulation of this model is conducted on the conditions of fixed exchange rate (115 yen/dollar) which is a mean value of the last ten years and the simulation results are compared with the observations (1980-2003). The main findings were as follows: (1) The observed (actual) exchange rates fluctuated about 20-30 % (±) from the fixed exchange rate. This fluctuations have caused 2.0-3.0% (±) fluctuations in real GDP about 2 years late. (2) Unemployment rate fluctuated 0.3-0.6 % (±) from its simulation results about 3 years late. (3) The prices (deflators : final consumption expenditure of households) changed 1.0-1.5 (±) point and wage rate changed 2.0-3.0% (±) by the same exchangerate fluctuations. (4) J curve effects were observed positively in the 1990s because of the inelastic import demand. (5) The actual exchange-rate movements have absorbed the economic wide fluctuations at times. (6) The fixed exchange rate has a long-term stabilizing effect on economic fluctuations.