A time series analysis of the Japanese yen with monthly data
Author
Eltaş, Metin
Advisor
Önkal, Dilek
Date
1996Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
The purpose of this thesis is to obtain a function which will help in using the
exchange rate between the Japanese Yen (Yen) and the United States Dollar
(Dollar) as an investment alternative. A three-step method is followed throughout
this study. Yen and the set of five countries' exchange and interest rates is
searched at the first step. Mullticolinearity and nonstationarity problems are
observed at this stage. At the second step the data set is converted into a
stationary form by taking the first differences. Then regression is applied and no
significant correlation is found. At the final step relation between Yen and three
subgroups from the data set are examined and no significant relation is found
again. This thesis concludes by explaining the outcomes of our analyses.