Intraday Yen Dollar Exchange Rate Movements
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Intraday Yen Dollar Exchange Rate Movements
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Author : Takatoshi Itō
language : en
Publisher:
Release Date : 1988
Intraday Yen Dollar Exchange Rate Movements written by Takatoshi Itō and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Foreign exchange categories.
Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.
Exchange Rate Fluctuations Pass Through And Market Share
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 1989-09-05
Exchange Rate Fluctuations Pass Through And Market Share written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989-09-05 with Business & Economics categories.
When the exchange rate fluctuates and the market exhibits hysteresis, planning horizons of domestic and foreign competitors will matter in determining pass-through as well as relative market shares of these firms. Using the Cournot duopoly model, it is shown that if the foreign exporter is a long-term maximizer relative to the domestic firm, pass-through will be lower and average export penetration higher than otherwise.
Dollar And Yen
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Author : Ronald I. McKinnon
language : en
Publisher: MIT Press
Release Date : 1997
Dollar And Yen written by Ronald I. McKinnon and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
Dollar and Yen analyzes the friction between the United States and Japan from the viewpoint of exchange rate economics. From the mid-1950s to the early 1990s, Japan grew faster than any other major industrial economy, displacing the United States in dominance of worldwide manufacturing markets. In the 1970s and 1980s, many books appeared linking the apparent decline of the United States in the world economy to unfair Japanese practices that closed the Japanese market to a wide range of foreign goods. Dollar and Yen analyzes the friction between the United States and Japan from the viewpoint of exchange rate economics. The authors argue against the prevailing view that the trade imbalance should be corrected by dollar depreciation, saying that adjustment through the exchange rate is both ineffective and costly. Stepping outside the traditional dichotomy between international trade and international finance, they link the yen's tremendous appreciation from 1971 to mid-1995 to mercantile pressure from the United States arising from trade tensions between the two countries. Although sometimes resisted by the Bank of Japan, this yen appreciation nevertheless forced unwanted deflation on the Japanese economy after 1985--resulting in two major recessions (endaka fukyos). The authors argue for relaxing commercial tensions between the two countries, and for limiting future economic downturns, by combining a commercial compact for mutual trade liberalization with a monetary accord for stabilizing the yen-dollar exchange rate.
Anatomy Of Sudden Yen Appreciations
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Author : Mr.Fei Han
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-01
Anatomy Of Sudden Yen Appreciations written by Mr.Fei Han and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-01 with Business & Economics categories.
The yen is an important barometer for the Japanese economy. Depreciations are typically associated with favorable economic developments such as increased corporate profits, rising equity prices, and upward pressure on domestic consumer prices. On the other hand, large and sharp appreciations run the risk of lowering actual and expected inflation, squeezing corporate profits, generating a negative wealth effect through depressed equity prices, and reducing confidence in the Bank of Japan’s efforts to reflate the domestic economy and achieve the inflation target. This paper takes a closer look at underlying drivers of rapid yen appreciations, highlighting the key role of carry-trade and the zero lower bound as important amplifiers.
The Microstructure Of Foreign Exchange Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
The Microstructure Of Foreign Exchange Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Studies On Financial Markets In East Asia
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Author : Masayuki Susai
language : en
Publisher: World Scientific
Release Date : 2011
Studies On Financial Markets In East Asia written by Masayuki Susai and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic growth and emerging performance of the financial markets in the East Asian countries. It introduces newly developed financial products, institutions, governance mechanism, banking policy changes and their implications in the East Asian economies, and discusses the way forward for these economies with recommendations for policy implications. It also contains suggestions for other developing countries trying to achieve rapid growth.
Exchange Rate Determination Puzzle Long Run Behavior And Short Run Dynamics
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Author : Falkmar Butgereit
language : en
Publisher: diplom.de
Release Date : 2009-07-02
Exchange Rate Determination Puzzle Long Run Behavior And Short Run Dynamics written by Falkmar Butgereit and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-02 with Business & Economics categories.
Inhaltsangabe:Introduction: As the foreign exchange rate market operates twenty-four hours a day and seven days a week it can be described as a global marketplace trading in continuous time. The importance of this market place on weal and woe of economies and agents cannot be overestimated. Long lasting disputes about exchange rate over- and under-evaluation between countries (as most prominently the case between China and the USA) and its implications for international trade, growth rates of economies, unemployment levels, financial money flows, and so forth illustrate this point. As reported by the Bank of International Settlement in its triennial Central Bank Survey 2007, covering 54 countries and jurisdictions, the daily average foreign exchange turnover as of April 2007 has reached a mind-staggering $3.21 trillion. This amount marks an increase of 69 percent compared to the $1.97 trillion three years earlier and highlights the still increasing importance of the exchange rate markets. The U.S. dollar is by far the most important currency as it is involved in 86 percent of all transactions amounting to some $2.7 trillion per day. This is by far bigger than the volume of U.S. international trade in goods and services which for the month April 2007 amounted to (imports + exports) $317.5 billion.1 Indeed, only 17 percent of exchange market turnover has been reported to occur with non-financial customer counterparties, while 43 percent of transactions occur between reporting dealers (i.e. the interbank market) and 40 percent occur between reporting and non-reporting financial institutions (e.g. hedge funds, mutual funds, pension funds, insurance companies). Accordingly, more than 2/3 of the turnover was traded as derivatives such as foreign exchange swaps, outright forwards, or options, while only 1/3 constituted spot rate transactions. These are important facts to consider when talking about forces of exchange rate determination. On ground of these figures one may reasonably explain why old-fashion standard models like the monetary model or purchasing power parity may only hold in the very long run and exchange rate movements may be much more subject to trades based on heterogeneous expectations incurred by investors, speculators and market makers. Particularly at the short-run exchange rates exhibit considerably greater volatility than macroeconomic time series leaving an impression of noisy and chaotic behavior. Throughout this work it [...]
The Intraday Price Dynamics Of Foreign Exchange Futures Market
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Author : Hsiaohua Leng
language : en
Publisher:
Release Date : 1996
The Intraday Price Dynamics Of Foreign Exchange Futures Market written by Hsiaohua Leng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Handbook Of International Economics
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Author : G.M. Grossman
language : en
Publisher: Elsevier
Release Date : 1995-12-13
Handbook Of International Economics written by G.M. Grossman and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-12-13 with Business & Economics categories.
This reference accords recognition to the recent revolution in macroeconomics wrought by imperfect competition. Grossman and Rogoff (Princeton U.) present chapters by two dozen contributors on two prime areas of research interest: international trade theory and policy (e.g. strategic trade patterns and policies, the relationship between trade and technological progress), and open economy macroeconomics and international finance (covering such topics as exchange rates, foreign lending, and policy coordination). The volume commences with Krugman's overview of the positive theory of international trade, and concludes with analyses of sovereign debt. Annotation copyrighted by Book News, Inc., Portland, OR.
Exchange Rate Determination Puzzle
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Author : Falkmar Butgereit
language : en
Publisher: Diplomica Verlag
Release Date : 2010
Exchange Rate Determination Puzzle written by Falkmar Butgereit and has been published by Diplomica Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor