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( Hiroya Akiba ),( Tomoki Waragai ) 세종대학교 경제통합연구소 1989 Journal of Economic Integration Vol.4 No.1
This paper tries to identify the particular point of time when the foreign exchange market undergoes a significant structural change which could be a possible reason why most existing models of exchange rate determination fail to explain exchange rate movemets and forecast for out-of-sample periods. The technique developed by the writers is a new application of MAIC. bringing it one more step further. It is also superior to traditional methods because of its arbitrary-free characteristic of detecting structural changes. Seven major currencies vis-a-vis the U. S. dollar are examined for the recent floating period.
The Forward Exchange Rate and the Interest Rate within a Production Economy
Akiba, Hiroya 세종대학교 국제경제연구소 1997 Journal of Economic Integration Vol.12 No.2
This paper considers some equilibrium characteristics of the forward foreign exchange rate and the interest rate within a production economy. In order to derive the optimal solutions, a two-stage decision process is assumed; the first is the production decision, and the second is the portfolio decision. With some additional assumptions, both the forward exchange rate and the interest rate are shown to depend on the underlying stochastic parameter in the production function. Unlike in an exchange economy, the unbiasedness hypothesis of the forward exchange rate fails because of random technological shocks in production.(JEL Classification: F31, G11, E21)
Stability of Monetary Union with Outsiders
Hiroya Akiba 연세대학교 동서문제연구원 2015 Global economic review Vol.44 No.2
This article examines stability of a three-country model which comprises a monetary union with two “ins” (i.e. members) and an “out” (i.e. non-member). This stability issue was examined by McAvinchey and McCausland who considered a hypothetical enlargement of Eurozone with a new member country, and empirically showed that the effects of enlargement are “predominantly destabilizing”. Using the Argy’s method of exact log-linearization, we show that the model is intrinsically unstable. A numerical example is given with the 2010 parameter values. We found that the stability could ironically be rehabilitated when uncovered interest parity and purchasing power parity are violated.
Monetary Union, Real Exchange Rate, and Welfare
( Hiroya Akiba ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2007 Journal of Economic Integration Vol.22 No.4
This paper considers the effects of formation or new accession to a monetary union (MU) on itself (“ins”) and the outsiders (“outs”) as well. Since a MU inherently means a “large” entity, we construct a large country model to examine those effects in the context of economic growth. The closed-form solution of the terms of trade enables us to derive the plausible conclusions: (a) the terms of trade of the MU improves, (b) the real income of “outs” falls, implying a real transfer to the MU, and (c) the real exchange rate of the MU currency appreciates.
The Forward Exchange Rate and the Interest Rate within a Production Economy
( Hiroya Akiba ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 1997 Journal of Economic Integration Vol.12 No.2
This paper considers some equilibrium characteristics of the forward foreign exchange rate and the interest rate within a production economy. In order to derive the optimal solutions, a two-stage decision process is assumed; the first is the production decision, and the second is the portfolio decision. With some additional assumptions, both the forward exchange rate and the interest rate are shown to depend on the underlying stochastic parameter in the production function. Unlike in an exchange economy, the unbiasedness hypothesis of the forward exchange rate fails because of random technological shocks in production. (JEL Classification: F31, G11, E21)
Akiba, Hiroya,Waragai, Tomoki 세종대학교 국제경제연구소 1989 Journal of Economic Integration Vol.4 No.1
This paper tries to identify the particular point of time when the foreign exchange market undergoes a significant structural change which could be a possible reason why most existing models of exchange rate determination fail to explain exchange rate movemets and forecast for out-of-sample periods. The technique developed by the writers is a new application of MAIC, bringing it one more step further. It is also superior to traditional methods because of its arbitrary-free characteristic of detecting structural changes. Seven major currencies vis-a-vis the U.S. dollar are examined for the recent floating period.
Monetary Unions and Endogeneity of the OCA Criteria
Hiroya Akiba,Yukihiro Iida 연세대학교 동서문제연구원 2009 Global economic review Vol.38 No.1
This article examines an endogeneity issue within the Optimum Currency Area theory. According to the cost-benefit analysis, we found that there are the upper and the lower bounds in the degree of monetary integration for a monetary union to be created. We also found that a country may secede from the monetary union, depending on its degree of integration. A country may also secede when production specialization is facilitated with monetary integration within a framework of the "OCA Line". We also consider the endogeneity of the "OCA Index", and applied our analysis to the optimum number of world currencies.