Effects of Japanese macroeconomic announcements on the dollar/yen exchange rate
By: Yuko Hashimoto, Takatoshi Ito
Contributors: Itō, Takatoshi, 1950-; National Bureau of Economic Research
Series: NBER working paper series -- working paper 15020; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15020.
Publisher: National Bureau of Economic Research
Published: 2009
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed.  High-frequency data collected from the actual trading platform, EBS, are used.  First, impacts on returns are analyzed.  Macroeconomic statistics releases that consistently had significant effects on exchange rate returns include Tankan survey (a short-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment rate and Balance of Payment statistics.  Macroeconomic statistics releases that did not have impacts on returns include Trade Balance, Retail Sales and Housing start indicators.  Second, for most of macroeconomic news items whose surprise components have return impacts also have impacts on deals and volatility.  The announcement itself, in addition to the magnitude of surprise, is found to increase the deals and price volatility in the immediately after the announcement.  In addition, some other items have no return impacts but deals and volatility impacts.  These facts are consistent with a view that market participants have heterogeneous information, so that even without any price change, trades take place.  Price discovery process may require some transactions with price fluctuations around new price level consistent with statistical announcement"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/16/2009.

Includes bibliographical references.

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