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Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture

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  • Hashimoto, Yuko
  • Ito, Takatoshi

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 24 (2010)
Issue (Month): 3 (September)
Pages: 334-354

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Handle: RePEc:eee:jjieco:v:24:y:2010:i:3:p:334-354

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Web page: http://www.elsevier.com/locate/inca/622903

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Keywords: Exchange rate High-frequency data Market microstructure Macro statistic announcement;

References

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Citations

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Cited by:
  1. Rasmus Fatum & Michael Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 49, Federal Reserve Bank of Dallas.
  2. Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(4), pages 1133-1147.
  3. Evans, Kevin & Speight, Alan, 2010. "International macroeconomic announcements and intraday euro exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, Elsevier, vol. 24(4), pages 552-568, December.
  4. Christopher F Baum & Marketa W. Halova & Alexander Kurov, 2013. "Does Regular Economic News from Emerging Countries Move Markets? Evidence from Chinese Macro Announcements," Boston College Working Papers in Economics, Boston College Department of Economics 834, Boston College Department of Economics, revised 28 Feb 2014.
  5. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer, Springer, vol. 7(2), pages 167-179, October.

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