| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w15020
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| 来源ID | Working Paper 15020
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| Effects of Japanese Macroeconomic Announcements on the Dollar\/Yen Exchange Rate: High-Resolution Picture |
| Yuko Hashimoto; Takatoshi Ito
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| 发表日期 | 2009-05-28
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| 出版年 | 2009
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| 语种 | 英语
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| 摘要 | Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed. High-frequency data collected from the actual trading platform, EBS, are used. First, impacts on returns are analyzed. Macroeconomic statistics releases that consistently had significant effects on exchange rate returns include Tankan survey (a short-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment rate and Balance of Payment statistics. Macroeconomic statistics releases that did not have impacts on returns include Trade Balance, Retail Sales and Housing start indicators. Second, for most of macroeconomic news items whose surprise components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude of surprise, is found to increase the deals and price volatility in the immediately after the announcement. In addition, some other items have no return impacts but deals and volatility impacts. These facts are consistent with a view that market participants have heterogeneous information, so that even without any price change, trades take place. Price discovery process may require some transactions with price fluctuations around new price level consistent with statistical announcement |
| 主题 | Macroeconomics
; Money and Interest Rates
; International Economics
; International Finance
; International Macroeconomics
; Financial Economics
; Financial Markets
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| URL | https://www.nber.org/papers/w15020
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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/572696
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推荐引用方式
GB/T 7714 |
Yuko Hashimoto,Takatoshi Ito. Effects of Japanese Macroeconomic Announcements on the Dollar\/Yen Exchange Rate: High-Resolution Picture. 2009.
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文件名：
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w15020.pdf
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格式：
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Adobe PDF
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