This paper studies shock-dependent exchange rate pass-through for Japan with a Bayesian structural vector autoregression model. We identify the structural shocks by complementing the traditional sign and zero restrictions with narrative sign restrictions related to the Plaza Accord. We find that the narrative sign restrictions are highly informative. They substantially sharpen and even change the inferences of the exchange rate shock originally identified with only the traditional sign and zero restrictions through distinguishing the exchange rate shock from the demand shock. We apply our model to “forecast” the dynamics of the exchange rate and prices conditional on certain foreign exchange interventions in 2018, which provides important policy implications for our shock-identification exercise.

本文使用贝叶斯结构向量自回归模型研究了日本的震荡相关汇率传递。我们通过与广场协议相关的叙述性标志限制补充传统标志和零限制来识别结构性冲击。我们发现叙述符号的限制信息量很大。他们通过区分汇率冲击和需求冲击，大大加强甚至改变了原本只被认为是传统符号和零限制的汇率冲击推论。我们应用我们的模型来“预测”以 2018 年某些外汇干预为条件的汇率和价格动态，这为我们的冲击识别工作提供了重要的政策含义。