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Fujii, Eiji

Works: 35 works in 160 publications in 2 languages and 2,141 library holdings
Roles: Author
Classifications: HB1, 337.15
Publication Timeline
Publications about Eiji Fujii
Publications by Eiji Fujii
Most widely held works by Eiji Fujii
The economic integration of Greater China : real and financial linkages and the prospects for currency union by Yin-Wong Cheung( Book )
8 editions published in 2007 in English and Undetermined and held by 143 libraries worldwide
"Cheung, Chinn and Fujii provide an up-to-date assessment of mainland China's economic development and its integration with its neighboring economies, especially Hong Kong and Taiwan. This grouping is also known as Greater China." "In addition, the authors evaluate the prospects for a currency union in Greater China, the most extreme form of integration. Prospects of China's continued integration with the world economy, and the implications of policies in Beijing and other Pacific Rim capitals are also discussed."--Jacket
Market structure and the persistence of sectoral real exchange rates by Yin-Wong Cheung( Book )
13 editions published in 1999 in English and held by 60 libraries worldwide
Abstract: We examine the relationship between market structure and the persistence of U.S. dollar-based sectoral real exchange rates for fourteen OECD countries. Our empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Specifically, industries with a larger price-cost margin are found to exhibit slower parity reversion of their sectoral real exchange rates. Further, as the degree of intra-industry trade activity increases, sectoral real exchange rate persistence becomes more pronounced. These findings imply that an imperfectly competitive market structure contributes to the well-documented persistence in real exchange rates
Exchange rate pass-through and the inflation environment in industrialized countries : an empirical investigation by Jeannine N Bailliu( Book )
6 editions published in 2004 in English and held by 57 libraries worldwide
This paper investigates the question of whether a transition to a low-inflation environment, induced by a shift in monetary policy, results in a decline in the degree of pass-through of exchange rate movements to consumer prices. It differs from previous empirical work in its focus on the identification of changes in the inflation environment and its use of a panel-data approach. Evidence from a panel-data set of 11 industrialized countries over the period from 1977 to 2001, supports the hypothesis that exchange rate pass-through declines with a shift to a low-inflation environment brought about by a change in the monetary policy regime. More specifically, the results suggest that pass-through to import, producer, and consumer price inflation declined following the inflation stabilization that occurred in many industrialized countries in the early 1990s but did not decline following a similar episode in the 1980s. Several potential explanations for this finding are discussed, including the possibility that changes in the monetary policy regimes implemented in the 1990s were perceived as more credible than those carried out in the 1980s, and the possibility that the credibility of the new monetary policy regimes was acquired over time
Fin de siècle real interest parity by Eiji Fujii( Book )
12 editions published between 2000 and 2001 in English and Undetermined and held by 54 libraries worldwide
We evaluate the recent evidence for real interest parity, focusing on long-term yields. Examining the data on financial instruments of various maturities across the G7 countries, we find substantial differences in the degree of real interest equalization measured at different horizons. In general, real interest parity holds better at long horizons than at short. This empirical result is robust to alternative ways of modeling expected inflation rates. Considering the relevance of long-term yields for the investment decisions of firms, our findings imply that the degree of capital mobility among the G-7 economies may be greater than previously thought
The Chinese economies in global context : the integration process and its determinants by Yin-Wong Cheung( Book )
12 editions published in 2003 in English and held by 45 libraries worldwide
The linkages between the People's Republic of China (PRC) and the other Chinese economies of Hong Kong and Taiwan are assessed, and compared against those with Japan and the US. We first characterize the time series behavior of variables corresponding to three criteria of integration, namely real interest parity, uncovered interest parity, and relative purchasing power parity. There is evidence that these parity conditions tend to hold over longer periods between the PRC and all other economies, although they do not hold instantaneously. In general, the magnitude of the deviations from the parity conditions is shrinking over time. Overall, however, Hong Kong exhibits indications of a more advanced level of integration with the PRC. We also find that evidence is surprisingly positive for integration with the US. We then turn to examining the determinants of the degree of integration. Regression results suggest that the degrees of financial and real integration depend upon the extent of capital controls, foreign direct investment linkages, as well as the magnitude of exchange rate volatility
The overvaluation of Renminbi undervaluation by Yin-Wong Cheung( Book )
14 editions published in 2007 in English and held by 36 libraries worldwide
We evaluate whether the Renminbi (RMB) is misaligned, relying upon conventional statistical methods of inference. A framework built around the relationship between relative price and relative output levels is used. We find that, once sampling uncertainty and serial correlation are accounted for, there is little statistical evidence that the RMB is undervalued. The result is robust to various choices of country samples and sample periods, as well as to the inclusion of control variables
China's current account and exchange rate by Yin-Wong Cheung( Book )
17 editions published between 2007 and 2009 in English and held by 30 libraries worldwide
We examine whether the Chinese exchange rate is misaligned and how Chinese trade flows respond to the exchange rate and to economic activity. We find, first, that the Chinese currency, the renminbi (RMB), is substantially below the value predicted by estimates based upon a cross-country sample, when using the 2006 vintage of the World Development Indicators. The economic magnitude of the mis-alignment is substantial -- on the order of 50 percent in log terms. However, the misalignment is typically not statistically significant, in the sense of being more than two standard errors away from the conditional mean. However, this finding disappears completely when using the most recent 2008 vintage of data; then the estimated undervaluation is on the order of 10 percent. Second, we find that Chinese multilateral trade flows respond to relative prices -- as represented by a trade weighted exchange rate -- but the relationship is not always precisely estimated. In addition, the direction of the effects is sometimes different from what is expected a priori. For instance, Chinese ordinary imports actually rise in response to a RMB depreciation; however, Chinese exports appear to respond to RMB depreciation in the expected manner, as long as a supply variable is included. In that sense, Chinese trade is not exceptional. Furthermore, Chinese trade with the United States appears to behave in a standard manner -- especially after the expansion in the Chinese manufacturing capital stock is accounted for. Thus, the China-US trade balance should respond to real exchange rate and relative income movements in the anticipated manner. However, in neither the case of multilateral nor bilateral trade flows should one expect quantitatively large effects arising from exchange rate changes. And, of course, these results are not informative with regard to the question of how a change in the RMB/USD exchange rate would affect the overall US trade deficit. Finally, we stress the fact that considerable uncertainty surrounds both our estimates of RMB misalignment and the responsiveness of trade flows to movements in exchange rates and output levels. In particular, the results for trade elasticities are sensitive to econometric specification, accounting for supply effects, and for the inclusion of time trends
China, Hong Kong, and Taiwan a quantitative assessment of real and financial integration by Yin-Wong Cheung( Book )
7 editions published in 2003 in English and held by 17 libraries worldwide
Exchange rate pass-through in the deflationary Japan how effective is the yenś depreciation for fighting deflation? ; presented at Venice Summer Institute, Workshop on Economic Stagnation in Japan, July 2003 by Eiji Fujii( Book )
5 editions published in 2004 in English and held by 16 libraries worldwide
There is an increasing endorsement for the yen's depreciation as a means to fight the ongoing deflation in Japan. The idea of generating inflation via depreciation relies on the assumption that exporters pass-through most of the effect of the exchange rate changes to the Japanese importers and consumers. A recent study by Taylor (2000), however, suggests that the rate of the pass-through may have declined in many countries making depreciation of domestic currencies less inflationary. In this study, we estimate the degree of exchange rate pass-through to the Japanese imports, focusing on the recent deflationary period. We then assess quantitatively the expected effectiveness of depreciation in taming the deflation. Our empirical results indicate that the long-run import pass-through has indeed declined significantly. As a result, the inflationary effect of depreciation has been reduced substantially over the past two decades
Exchange rate misalignment estimates : sources of differences by Yin-Wong Cheung( Book )
8 editions published in 2011 in English and Undetermined and held by 15 libraries worldwide
We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision. Further, we find that differences in misalignment estimates are systematically affected by a country's participation status in the ICP survey and its data quality - a finding that casts doubt on the economic and policy relevance of these misalignment estimates. The patterns of changes in the estimated degree of misalignment across individual countries, as illustrated by the BRIC economies, are quite variable. -- Penn Effect Regression ; data revision ; PPP-based data ; measurement factors ; economic factors
Pitfalls in measuring exchange rate misalignment : the yuan and other currencies by Yin-Wong Cheung( Book )
7 editions published in 2008 in English and held by 14 libraries worldwide
We evaluate whether the Renminbi (RMB) is misaligned, relying upon conventional statistical methods of inference. A framework built around the relationship between relative price and relative output levels is used. We find that, once sampling uncertainty and serial correlation are accounted for, there is little statistical evidence that the RMB is undervalued, even though the point estimates usually indicate economically significant misalignment. The result is robust to various choices of country samples and sample periods, as well as to the inclusion of control variables. We then update the results using the latest vintage of the data to demonstrate how fragile the results are. We find that whatever misalignment we detected in our previous work disappears in this data set
The incidence of hotel room taxes : some further estimates by Eiji Fujii( Book )
2 editions published in 1988 in English and held by 13 libraries worldwide
Deviations from the law of one price in Japan by Yin-Wong Cheung( Book )
4 editions published in 2008 in English and held by 13 libraries worldwide
Using 25 years of monthly data on individual Japanese retail prices, we study the behavior of product-specific Law of One Price (LOP) deviations. Individual tradable products, compared with nontradables, are more likely to have different distributions of LOP deviations across cities. Their distributions are also more likely to change over time. Individual LOP deviation series are found to display considerable persistence and there is limited evidence that tradability enhances price convergence. In addition, deviations from the LOP are found to display nonlinear trends, and these trends are not linearly related to a product's tradability. For individual products, LOP deviations are affected by their own inflation rates and, to a lesser extent, by aggregate inflation, output variations, and monetary variability. Interestingly, the trend behavior remains significant in the presence of these economic variables
Cross-country relative price volatility effects of market structure by Yin-Wong Cheung( Book )
3 editions published in 2005 in English and held by 11 libraries worldwide
Reconsidering the price-income relationship across countries by Eiji Fujii( Book )
6 editions published in 2013 in English and held by 10 libraries worldwide
This study reconsiders the well-known cross-country positive association between prices and income by focusing on heterogeneity between the inter-developed-country and inter-developing-country relationships. Empirical results reveal not only that developed and developing countries differ in magnitude of the income effect on prices, but also that they exhibit the positive price-income association for different reasons. Specifically, we find only for the inter-developed-country case that the positive price-income association is attributable, at least partly, to the Balassa-Samuelson productivity differential effect. The idiosyncrasy of the inter-developing-country relationship is not dissolved by controlling for the effects of a variety of real and financial variables
The Penn effect within a country evidence from Japan by Yin-Wong Cheung( Book )
5 editions published in 2012 in English and held by 10 libraries worldwide
To control for product quality and eliminate the exchange rate volatility effect, we use the Japanese regional data to study the Penn effect - the positive relationship between price and income levels. Similarly to what is widely documented with international data, the price and income levels exhibit significant positive association across the Japanese prefectures. Furthermore, the intra-Japan Penn effect is driven essentially by prices of nontradables. The effect is also found stronger among rich prefectures than poor ones, as is the case with the international data. In explaining the Penn effect within Japan, we find that the measures of sectoral productivity do not behave in the way suggested by the Balassa-Samuelson hypothesis. On the other hand, the population density variable that captures the agglomeration effect offers a good explanatory power. -- agglomeration effect ; Penn effect ; sectoral productivity differential ; tradables and non-tradables ; population density
Koa tekisuto kokusai kin'yūron by Eiji Fujii( Book )
5 editions published between 2006 and 2013 in Japanese and held by 7 libraries worldwide
Essays in international finance and macroeconomics by Eiji Fujii( Archival Material )
2 editions published in 1999 in English and held by 5 libraries worldwide
The third essay & ldquo;On the Dynamics of Alternative Aggregate Output Measures & rdquo; provides a systematic comparison of the dynamics of several different measures of aggregate output, and discusses the implications of their use for empirical analyses. Specifically, the gross domestic product, industrial production index, index of coincident indicators, and experimental coincident index are compared and contrasted. The results suggest that those alternative measures share a common stochastic long-run trend, but possess distinct short-run properties. An important implication is that empirical results can be crucially influenced by the choice among the alternative measures. As an example, the responses of the four output measures to monetary shocks are compared using the causal regression and impulse response analyses
Fin de siècle real interest rate parity by Eiji Fujii( Book )
2 editions published in 2000 in English and held by 3 libraries worldwide
Which measure of aggregate output should we use? by Yin-Wong Cheung( Book )
2 editions published in 1999 in English and held by 2 libraries worldwide
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Alternative Names
Fujii, E.
Fujii Eiji
English (132)
Japanese (5)
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