News and the Dollar/Yen Exchange Rate, 1931-1933: The End of the Gold Standard, Imperialism, and the Great Depression
AbstractAccording to the efficient market hypothesis, news in Tokyo is responsible for the exchange rate changes during the Tokyo market hours, while the U.S. news is responsible for changes in the New York hours. The intra-daily dynamics of the $/yen exchange rate from December 1931 to November 1933 is analyzed. Japan's decision to go off gold in December 1931 depreciated yen by 30% in a month, mostly in the Tokyo market. During 1932, the yen depreciated another 30%, mainly due to Japan's aggression in China and resulting diplomatic isolation. In 1933, the yen appreciated against the dollar, mainly in the New York market, due to the U.S. decision to go off gold. However, exchange rate volatility and its sensitivity to news declined over the two year period, because of increasing capital controls. Changes in the interest rate differential was found insignificant for the changes in the exchange rate. Political regime changes, such as a decision to go off gold, most influenced the exchange rate for the period considered. There were no policy decisions by Japan to cause yen depreciation to promote export and limit import in 1931-33.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2683.
Date of creation: Aug 1988
Date of revision:
Publication status: published as Ito, Takatoshi, Kunio Okina and Juro Teranishi. "New And The Dollar/Yen Exchange Rate, 1931-1933: The End Of The Gold Standard, Imperialism, And The Great Depression," Journal of the Japanese and International Economies, 1993, v7(2,Jun), 107-131.
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
More information through EDIRC
Other versions of this item:
- Ito Takatoshi & Okina Kunio & Teranishi Juro, 1993. "News and the Dollar/Yen Exchange Rate, 1931-1933: The End of the Gold Standard, Imperialism, and the Great Depression," Journal of the Japanese and International Economies, Elsevier, vol. 7(2), pages 107-131, June.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Takatoshi Ito & V. Vance Roley, 1986.
"News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?,"
NBER Working Papers
1853, National Bureau of Economic Research, Inc.
- Ito, Takatoshi & Roley, V. Vance, 1987. "News from the U.S. and Japan : Which moves the yen/dollar exchange rate?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 19(2), pages 255-277, March.
- Takatoshi Ito & V. Vance Roley, 1986. "News from the U.S. and Japan: which moves the yen/dollar exchange rate?," Research Working Paper, Federal Reserve Bank of Kansas City 86-02, Federal Reserve Bank of Kansas City.
- Nanto, Dick K & Takagi, Shinji, 1985. "Korekiyo Takahashi and Japan's Recovery from the Great Depression," American Economic Review, American Economic Association, American Economic Association, vol. 75(2), pages 369-74, May.
- Mussa, Michael, 1979. "Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 11(1), pages 9-57, January.
- Ito, Takatoshi, 1987. "The intradaily exchange rate dynamics and monetary policies after the group of five agreement," Journal of the Japanese and International Economies, Elsevier, vol. 1(3), pages 275-298, September.
- Takatoshi Ito, 1984.
"Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity,"
NBER Working Papers
1493, National Bureau of Economic Research, Inc.
- Ito, Takatoshi, 1988. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," The Review of Economics and Statistics, MIT Press, vol. 70(2), pages 296-305, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.