@article{oai:wako.repo.nii.ac.jp:00005034,
 author = {小林, 稔},
 issue = {3},
 journal = {和光経済, Wako Keizai},
 month = {Mar},
 note = {application/pdf, As an economic policy response to the COVID-19 pandemic that has been ongoing since early 2020, many countries in the world have been providing a variety of financial resources, including grants and benefits, since late 2020. As a result, the monetary base has expanded rapidly. The expansion of the monetary base supported the world economy by increasing demand. However, the supply of funds to the market became excessive and concerns about inflation grew. As of January 2023, including the impact of Russia’s invasion of Ukraine in February 2022, inflation fears have intensified globally. The U.S. shifted to a tight monetary policy in May 2022 to control inflation. As a result, the interest rate differential between Japan and the U.S. widened and the dollar-yen exchange rate depreciated rapidly in the second half of 2022. However, concerns about inflation are growing in Japan as well, and more than six months after the U.S. shift to tighter monetary policy, Japan is also entering a phase of rising interest rates. As of January 2023, the dollar-yen exchange rate has shifted toward a stronger yen to the 128-yen level. Thus, global financial markets continue to be in turmoil.
This paper provides an overview of the trends in the financial markets, which have been disrupted by unpredictable events such as the COVID-19 global pandemic and Russia’s invasion of Ukraine, based on fluctuations in the dollar-yen exchange rate. At the same time, we attempted to analyze them using statespace models and AI simulations. In particular, we focus on the expansion of interest rate differentials and the progression of inflation due to the reversal of monetary policy in Japan and the U.S., and clarify the actual situation in which the expansion of interest rate differentials and inflation rate differentials affect the rapid fluctuation of the dollar/yen exchange rate, based on the results of the state-space model and AI simulation analysis.},
 pages = {23--46},
 title = {インフレーションおよび日米の金利差がドル/円為替レートへ与える影響に関する検証 : ベイズモデルとAI シミュレーションを用いた実証分析},
 volume = {55},
 year = {2023}
}