کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086498 | 1375190 | 2006 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Information arrival, interest rate differentials, and yen/dollar exchange rate
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Information arrival, interest rate differentials, and yen/dollar exchange rate Information arrival, interest rate differentials, and yen/dollar exchange rate](/preview/png/5086498.png)
چکیده انگلیسی
This paper examines the effects of interest rate differentials as inflowing information into the forex market on the yen/dollar exchange rate and unexpected trading volume by a structural VAR model. The impulse responses show that the short-term interest rate differential affects the exchange rate through (a) UIP with little change in unexpected trading volume, and (b) different expectation revisions at different points in time with a high transaction volume. The effects of long-term interest rate differential on the exchange rate appear instantaneous with high trading volume, reflecting instantaneous reshuffling in international portfolio holdings of long-term assets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 18, Issue 1, January 2006, Pages 108-119
Journal: Japan and the World Economy - Volume 18, Issue 1, January 2006, Pages 108-119
نویسندگان
Yoshihiro Kitamura, Hiroya Akiba,