Note 3-13

13 To be specific, this follows the example of the analysis conducted by Oyama (1998). It is based on quarterly data obtained from the Statistics of Corporations by Industry, Quarterly on large corporations (unit base) with over 1 billion yen in capital. The percentage of gross profit on sales is set as the explanatory variable. Using the model where the capital utilization index, the ratio of depreciation to sales volume, the ratio of personnel costs to sales volume and the nominal effective exchange rate are explanatory variables, the Kalman filter was used to estimate the coefficient of the nominal effective exchange rate as a time-varying parameter.