کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
965018 | 930680 | 2010 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Using high-frequency transaction data of the actual trading platform, we examine market impact of Japanese macroeconomic statistics news within minutes of their announcements on the dollar/yen exchange rate. Macroeconomic statistics surprises that consistently have significant effect on dollar/yen returns include Tankan (business condition survey conducted by Bank of Japan), GDP, industrial production, price indices and balance of payment. The announcement itself, in addition to the magnitude of the surprise, is found to increase the number of deals and price volatility immediately after the announcement. Most effects, when significant, take place within 30Â min of statistics announcements.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Japanese and International Economies - Volume 24, Issue 3, September 2010, Pages 334-354
Journal: Journal of the Japanese and International Economies - Volume 24, Issue 3, September 2010, Pages 334-354
نویسندگان
Yuko Hashimoto, Takatoshi Ito,