کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9553648 1375479 2005 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of the Japanese banking crisis on the intraday FX market in late 1997
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The impact of the Japanese banking crisis on the intraday FX market in late 1997
چکیده انگلیسی
Using the tick-by-tick yen/dollar exchange rate, this paper examines the effect of Japanese banking crises in late 1997 on the foreign exchange rate market. By high-frequency methodology, GARCH estimation and variance-ratio tests, the existence of a structural break in the foreign exchange market at the onset of the crisis is detected. We show a reversed pattern in return volatility after the series of bankruptcies. From the microstructure analysis, it is found that the change in exchange rate dynamics can be attributed to a change in strategic foreign exchange trade behavior. The result provides new insights into the trading activities of market makers at the onset of bank failures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 16, Issue 2, April 2005, Pages 205-222
نویسندگان
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