An AI-based Simulation Analysis of Exchange Rate Fluctuations Due to Widening Gap between Domestic and Foreign Interest Rate

Since January 2020, the spread of COVID-19 infections around the world has forced socio-economic activity to stagnate. As a result, the world economy has fallen sharply. However, as the government and the Bank of Japan implemented measures against COVID-19 and large-scale monetary easing policies, the monetary base expanded rapidly after April 2020, which supported the economy. Similarly, in the United States, at the beginning of the COVID-19 pandemic, the monetary base expanded rapidly due to abundant supply of funds such as cash benefits. Although the economy temporarily slumped, the economy continued to recover from the third quarter of 2020. The Nikkei Stock Average temporarily hit the highest price after the burst of the bubble economy and exceeded 30,000 yen. In addition, the US stock market has become overheated, with the Dow Jones Industrial Average hitting a record high. On the other hand, mutants of COVID-19 appeared one after another, and the main strains of infection changed to Delta strains and Omicron strains, and the wave of infection was repeated each time, but the number of newly infected people gradually decreased. In developed countries such as the United States and European countries, the third inoculation of the new corona vaccine is progressing, and we are looking for a new social step toward post-corona. Under these circumstances, Japan's monetary policy continues its monetary easing policy toward the BOJ's achievement of the "price stability target" of 2 ％ . However, in the United States, the economy is recovering, the consumer price index is rising sharply, and there is a growing sense of caution about inflation. In May 2020, the Fed raised the Federal Funds Rate by 0.5 points and switched from monetary easing to monetary tightening. The interest rate gap between Japan and the United States has also become clearer, and the yen / dollar exchange rate has been depreciating rapidly since March 2022. This paper analyzes the impact of the interest rate gap between Japan and the United States on the yen / dollar exchange rate and the economy. In addition, we will build an analytical model using AI to simulate the correlation between interest rate gap and exchange rates. Furthermore, we will consider the results and show the findings obtained regarding the interest rate gap and the yen / dollar exchange rate.

Récupéré en direct depuis OpenAlex et désinversé. Les résumés ne sont pas conservés dans cette base de données : les index inversés représentent 8,6 Go des 9,3 Go de texte de la base, et le serveur dispose de 13 Go libres.