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On the predictability of daytime and night-time yen/dollar exchange rates

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  • Shin-ichi Fukuda

Abstract

This article first shows that the yen/dollar rate tended to appreciate in Japan daytime but to depreciate in Japan night-time in the 2000s. The result is very paradoxical because the asymmetry implies that the intra-daily yen/dollar rate had predictable stochastic trends in the 2000s. The article then investigates whether lagged dependent variables and various external shocks were responsible to the asymmetric feature. We find that once we control the effects of lagged dependent variables and external shocks, the daytime yen/dollar rate tended to appreciate when it had appreciated on the day before, while the night-time yen/dollar rate tended to depreciate when it had depreciated on the day before.

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  • Shin-ichi Fukuda, 2016. "On the predictability of daytime and night-time yen/dollar exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 23(9), pages 618-622, June.
    • Handle: RePEc:taf:apeclt:v:23:y:2016:i:9:p:618-622
    DOI: 10.1080/13504851.2015.1093077
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    Cited by:

    1. Kondo, Yoshihiro & Nakazono, Yoshiyuki & Ota, Rui & Sui, Qing-Yuan, 2020. "Heterogeneous impacts of Abenomics on the stock market: A Fund flow analysis," Journal of the Japanese and International Economies, Elsevier, vol. 55(C).

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