Capital Flows And Japanese Asset Volatility
Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is expensive or difficult in decentralized markets such as foreign exchange. We investigate the extent that Japanese capital flows—which are released weekly—reflect information arrival that improves foreign exchange and equity volatility forecasts. We find that capital flows can help explain transitory shocks to GARCH volatility. Transactions by Japanese residents in foreign bond markets have the most explanatory power among capital flows and that power is much greater in the second subsample.
(This abstract was borrowed from another version of this item.)
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 17 (2012)
Issue (Month): 3 (08)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=1361-374X|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=1361-374X|
References listed on IDEAS
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.:
- Frömmel, Michael & Mende, Alexander & Menkhoff, Lukas, 2008.
"Order flows, news, and exchange rate volatility,"
Journal of International Money and Finance,
Elsevier, vol. 27(6), pages 994-1012, October.
- M. Frömmel & A. Mende & L. Menkhoff, 2007. "Order Flows, News, and Exchange Rate Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/474, Ghent University, Faculty of Economics and Business Administration.
- Kenneth D. West & Dongchul Cho, 1994.
"The Predictive Ability of Several Models of Exchange Rate Volatility,"
NBER Technical Working Papers
0152, National Bureau of Economic Research, Inc.
- West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
- West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317r, Wisconsin Madison - Social Systems.
- West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317, Wisconsin Madison - Social Systems.
- Neely, Christopher J., 1999.
"Target zones and conditional volatility: The role of realignments,"
Journal of Empirical Finance,
Elsevier, vol. 6(2), pages 177-192, April.
- Christopher J. Neely, 1998. "Target zones and conditional volatility: the role of realignments," Working Papers 1994-008, Federal Reserve Bank of St. Louis.
- Tanseli Savaser, 2007.
"Exchange Rate Response to Macro News: Through the Lens of Microstructure,"
Department of Economics Working Papers
2007-02, Department of Economics, Williams College.
- Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
- David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006.
"What drives volatility persistence in the foreign exchange market?,"
International Finance Discussion Papers
862, Board of Governors of the Federal Reserve System (U.S.).
- Berger, David & Chaboud, Alain & Hjalmarsson, Erik, 2009. "What drives volatility persistence in the foreign exchange market?," Journal of Financial Economics, Elsevier, vol. 94(2), pages 192-213, November.
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003.
"News announcements, market activity and volatility in the Euro/Dollar foreign exchange market,"
CORE Discussion Papers
2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, "undated". "News announcements, market activity and volatility in the euro/dollar foreign exchange market," CORE Discussion Papers RP 1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
When requesting a correction, please mention this item's handle: RePEc:bla:pacecr:v:17:y:2012:i:3:p:391-414. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.