| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w1853
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| 来源ID | Working Paper 1853
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| News from the U. S. and Japan: Which Moves the Yen\/Dollar Exchange Rate? |
| Takatoshi Ito; V. Vance Roley
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| 发表日期 | 1986-03-01
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| 出版年 | 1986
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| 语种 | 英语
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| 摘要 | Intra-daily movements in the yen/dollar exchange rate were examined in four non-overlapping segments within each business day from January1980 to September 1985. The empirical results yielded several conclusions. First, most depreciation of the yen (appreciation of the dollar) from late 1982 to early 1984 occurred in the New York market. The direction of the yen was mostly neutral in the Tokyo market. Also, the volatility of the exchange rate decreased considerably in the Tokyo market. The volatility in the New York market, on the other hand, did not decrease untilvery recently. Second, market efficiency was examined in terms of the random-walk behavior of short-run movements in the yen/dollar rate. Information on the preceding segments within a day was sometimes significant in predicting the exchange rate movement in a market. Third, there is evidence of the "profit-taking" behavior, or overshooting, in that a large jump (more than 3 absolute yen) in any market tends to be reversed by a fifth of the jump during the same day in the next market. Finally,the relative effects of news from the U.S. and Japan were examined explicitly both with respect to possible major events behind large jumps andthe response of the yen/dollar rate to particular economic announcements in both countries. Over the entire sample period, news concerning the U.S. money stock had the only significant effects. |
| URL | https://www.nber.org/papers/w1853
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559100
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推荐引用方式
GB/T 7714 |
Takatoshi Ito,V. Vance Roley. News from the U. S. and Japan: Which Moves the Yen\/Dollar Exchange Rate?. 1986.
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文件名：
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w1853.pdf
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格式：
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Adobe PDF
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