The Construction and Analysis of Industry-specific Effective Exchange Rates in Japan

Author Name SATO Kiyotaka  (Yokohama National University) /SHIMIZU Junko  (Gakushuin University) /Nagendra SHRESTHA  (Yokohama National University) /Shajuan ZHANG  (Yokohama National University)
Creation Date/NO. July 2012 12-E-043
Research Project Research on a Currency Basket
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In this paper, we construct the daily nominal effective exchange rate (NEER) of the Japanese yen for eight major manufacturing industries, which provides a better indicator to reflect differences in international competitiveness across industries compared with the conventional NEER. By applying these datasets on stock return and pass-through by industry, we confirm that there are different effects by industry. As the Japanese yen appreciated substantially against the U.S. dollar and other major currencies following the Lehman Brothers collapse in September 2008, it has become increasingly important to watch the daily fluctuations of the Japanese yen, not only at the effective base but also by industry. The daily industry-specific NEER could be reflected in the formulation of policies and can determine which industries should be prioritized in emergency measures against a rising yen.