AbstractThis study investigates the time‐series properties of five real yen exchange rates by testing for stationarity in the context of a single structural shift. It finds that all but one of the series are stationary in conjunction with a trend‐ or mean‐break in the late 1950s or early 1970s. By comparison, most real rates for five other industrialized countries are stationary around a constant mean. These findings suggest that the behavior of the real yen exchange rate is unique among the six currencies in the sample, a difference that may originate in the exceptional productivity performance of the Japanese traded‐goods