A Test of Relations between Japanese Industry Stock Prices and Exchange Rates
Chikashi TSUJI

Abstract
This paper examines the direct relations between the yen/US dollars exchange rates and stock prices of the Japanese electric appliances industry and that between the yen/US dollars exchange rates and the Japanese oil and coal products industry stock prices. We find that the linkage between Japanese oil and coal products industry stock prices and the exchange rates can be modeled by the Vector Error Correction Model because in our analyzing period, two variables are cointegrated. On the other hand, we find that the relation between Japanese electric appliances industry stock prices and the yen/US dollars exchange rates can be modeled by the standard Vector Autoregressive model.

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