Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5086498 | Japan and the World Economy | 2006 | 12 Pages |
Abstract
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.
Related Topics
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Economics and Econometrics
Authors
Yoshihiro Kitamura, Hiroya Akiba,