1# Library to Find Best eBook for Read
Author :
Release : 1998
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Macroeconomic News Announcements and the Yen/$US Intraday Exchange Rate by :
Download or read book Macroeconomic News Announcements and the Yen/$US Intraday Exchange Rate written by . This book was released on 1998. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rasmus Fatum
Release : 2013
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan by : Rasmus Fatum
Download or read book Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan written by Rasmus Fatum. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We attempt to fill this gap in the literature by investigating the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. We show that, overall, Japanese news surprises exert a similar influence on the 5-minute JPY/USD exchange rate returns as U.S. news surprises and, specifically, two of the four most influential macro news emanate from Japan. This finding is robust across three different estimation procedures. In addition, we find asymmetric effects across positive and negative Japanese news surprises when looking at individual Japanese news separately. We also find that the intraday JPY/USD exchange rate responds to a broader set of both U.S. and Japanese news when the Japanese economy is in an upturn, yet it is even more responsive to the consistently most important types of both U.S. and Japanese news when the Japanese economy is in a downturn. Our results show that Japanese macroeconomic news surprises matter for the intraday JPY/USD exchange rate, as do the direction of news surprises and the state of the Japanese business cycle and, therefore, focusing on U.S. news while disregarding foreign news misses half the story.
Author : Alexandre Mazigi
Release : 2002
Genre : Foreign exchange rates
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Macroeconomic News Announcements and the CDN/USD Intraday Exchange Rate by : Alexandre Mazigi
Download or read book Macroeconomic News Announcements and the CDN/USD Intraday Exchange Rate written by Alexandre Mazigi. This book was released on 2002. Available in PDF, EPUB and Kindle. Book excerpt: The paper empirically examines the effects of macroeconomic news announcements on the CDN/USD exchange rate. Our process started by dividing our sample observations into four groups: (1) Major US announcement days, (2) minor US announcement days, (3) Canadian news announcement, and (4) Non-announcement days. We compared the volatility for each of these groups based on five-minute intervals during the trading day. Using two different models, we examine which announcements have the greatest impact on the exchange rate. We find that the U.S. announcements that had the most impact were housing starts, leading indicator and to a lesser degree federal funds rate and merchandise trade deficit. The Canadian news announcements that were found to be most significant was the official bank rate followed by Canadian unemployment and Canadian Building permits.
Author : Alain P. Chaboud
Release : 2007
Genre : Foreign exchange
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Trading Activity and Exchange Rates in High-frequency EBS Data by : Alain P. Chaboud
Download or read book Trading Activity and Exchange Rates in High-frequency EBS Data written by Alain P. Chaboud. This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt: The absence of data has, until now, precluded virtually all research on trading volume in the foreign exchange market. This paper introduces a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market. The dataset gives volumes and prices at the one-minute frequency over a five-year time period in the euro-dollar and dollar-yen currency pairs. We first document intraday volume patterns in euro-dollar and dollar-yen trading, noting the effects of macroeconomic news announcements but also purely institutional factors. We study the effects of UK-specific holidays on euro-dollar and dollar-yen trading volume and find that these holidays cause a sharp decline in trading volume even among dealers outside the UK, a natural experiment that we interpret as further evidence that trading activity is not driven solely by the flow of news about fundamentals. Studying the reaction to U.S. macroeconomic announcements, we show that a sharp pickup in trading volume generally occurs in the minutes following news announcements. This rise in trading volume happens even if the data release is entirely in line with market expectations, and it is often negatively related to the dispersion of ex-ante market expectations. Finally, focusing on one particular data release at the one-second frequency, we document a two-stage reaction whereby the price jumps immediately after the announcement without much trading volume, while trading volume and volatility then surge about 15 seconds after the data release.
Author : Takatoshi Itō
Release : 1988
Genre : Foreign exchange
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Intraday Yen/dollar Exchange Rate Movements by : Takatoshi Itō
Download or read book Intraday Yen/dollar Exchange Rate Movements written by Takatoshi Itō. This book was released on 1988. Available in PDF, EPUB and Kindle. Book excerpt: 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.
