全球智库信息集成服务系统(G2TT): Intraday Yen\/Dollar Exchange Rate Movements: News or Noise?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w2703
来源ID	Working Paper 2703
	Intraday Yen\/Dollar Exchange Rate Movements: News or Noise?
	Takatoshi Ito; V. Vance Roley
发表日期	1988-09-01
出版年	1988
语种	英语
摘要	Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.
主题	Macroeconomics ; International Economics
URL	https://www.nber.org/papers/w2703
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/559965
推荐引用方式 GB/T 7714	Takatoshi Ito,V. Vance Roley. Intraday Yen\/Dollar Exchange Rate Movements: News or Noise?. 1988.