Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model
使用时变参数向量自回归模型分析日本实际出口，发现汇率和海外经济的影响随时间变化，2013年经济复苏以来汇率影响减弱而海外经济影响增强。
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.