Macroeconomic News Announcements and the Yen/$US Intraday Exchange Rate
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
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Macroeconomic News Announcements And The Yen Us Intraday Exchange Rate
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Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan
| Author | : Rasmus Fatum |
| Publisher | : |
| Total Pages | : 31 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
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No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We attempt to fill this gap in the literature by investigating the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. We show that, overall, Japanese news surprises exert a similar influence on the 5-minute JPY/USD exchange rate returns as U.S. news surprises and, specifically, two of the four most influential macro news emanate from Japan. This finding is robust across three different estimation procedures. In addition, we find asymmetric effects across positive and negative Japanese news surprises when looking at individual Japanese news separately. We also find that the intraday JPY/USD exchange rate responds to a broader set of both U.S. and Japanese news when the Japanese economy is in an upturn, yet it is even more responsive to the consistently most important types of both U.S. and Japanese news when the Japanese economy is in a downturn. Our results show that Japanese macroeconomic news surprises matter for the intraday JPY/USD exchange rate, as do the direction of news surprises and the state of the Japanese business cycle and, therefore, focusing on U.S. news while disregarding foreign news misses half the story.
Macroeconomic News Announcements and the CDN/USD Intraday Exchange Rate
| Author | : Alexandre Mazigi |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2002 |
| Genre | : Foreign exchange rates |
| ISBN | : |
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The paper empirically examines the effects of macroeconomic news announcements on the CDN/USD exchange rate. Our process started by dividing our sample observations into four groups: (1) Major US announcement days, (2) minor US announcement days, (3) Canadian news announcement, and (4) Non-announcement days. We compared the volatility for each of these groups based on five-minute intervals during the trading day. Using two different models, we examine which announcements have the greatest impact on the exchange rate. We find that the U.S. announcements that had the most impact were housing starts, leading indicator and to a lesser degree federal funds rate and merchandise trade deficit. The Canadian news announcements that were found to be most significant was the official bank rate followed by Canadian unemployment and Canadian Building permits.
Trading Activity and Exchange Rates in High-frequency EBS Data
| Author | : Alain P. Chaboud |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2007 |
| Genre | : Foreign exchange |
| ISBN | : |
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The absence of data has, until now, precluded virtually all research on trading volume in the foreign exchange market. This paper introduces a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market. The dataset gives volumes and prices at the one-minute frequency over a five-year time period in the euro-dollar and dollar-yen currency pairs. We first document intraday volume patterns in euro-dollar and dollar-yen trading, noting the effects of macroeconomic news announcements but also purely institutional factors. We study the effects of UK-specific holidays on euro-dollar and dollar-yen trading volume and find that these holidays cause a sharp decline in trading volume even among dealers outside the UK, a natural experiment that we interpret as further evidence that trading activity is not driven solely by the flow of news about fundamentals. Studying the reaction to U.S. macroeconomic announcements, we show that a sharp pickup in trading volume generally occurs in the minutes following news announcements. This rise in trading volume happens even if the data release is entirely in line with market expectations, and it is often negatively related to the dispersion of ex-ante market expectations. Finally, focusing on one particular data release at the one-second frequency, we document a two-stage reaction whereby the price jumps immediately after the announcement without much trading volume, while trading volume and volatility then surge about 15 seconds after the data release.
Intraday Yen/dollar Exchange Rate Movements
| Author | : Takatoshi Itō |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 1988 |
| Genre | : Foreign exchange |
| ISBN | : |
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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.
Micro Effects of Macro Announcements
| Author | : Torben Gustav Andersen |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2002 |
| Genre | : Economics |
| ISBN | : |
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Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
The High-frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market
| Author | : |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2004 |
| Genre | : Foreign exchange |
| ISBN | : |
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"We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume"--Federal Reserve Board web site.
Effects of Japanese macroeconomic announcements on the dollar/yen exchange rate : high-resolution picture
| Author | : Yūko Hashimoto |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2009 |
| Genre | : Economic indicators |
| ISBN | : |
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Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed. High-frequency data collected from the actual trading platform, EBS, are used. First, impacts on returns are analyzed. Macroeconomic statistics releases that consistently had significant effects on exchange rate returns include Tankan survey (a short-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment rate and Balance of Payment statistics. Macroeconomic statistics releases that did not have impacts on returns include Trade Balance, Retail Sales and Housing start indicators. Second, for most of macroeconomic news items whose surprise components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude of surprise, is found to increase the deals and price volatility in the immediately after the announcement. In addition, some other items have no return impacts but deals and volatility impacts. These facts are consistent with a view that market participants have heterogeneous information, so that even without any price change, trades take place. Price discovery process may require some transactions with price fluctuations around new price level consistent with statistical announcement.
The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets
| Author | : Fang Cai |
| Publisher | : |
| Total Pages | : 66 |
| Release | : 2009 |
| Genre | : Foreign exchange rates |
| ISBN | : |
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"This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news"--Federal Reserve Board web site.
News from the U.S. and Japan
| Author | : Takatoshi Itō |
| Publisher | : |
| Total Pages | : 106 |
| Release | : 1986 |
| Genre | : Foreign exchange |
| ISBN | : |
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Intra-daily movements in the yen/dollar exchange rate were examined in four non-overlapping segments within each business day from January1980 to September 1985. The empirical results yielded several conclusions. First, most depreciation of the yen (appreciation of the dollar) from late 1982 to early 1984 occurred in the New York market. The direction of the yen was mostly neutral in the Tokyo market. Also, the volatility of the exchange rate decreased considerably in the Tokyo market. The volatility in the New York market, on the other hand, did not decrease untilvery recently. Second, market efficiency was examined in terms of the random-walk behavior of short-run movements in the yen/dollar rate. Information on the preceding segments within a day was sometimes significant in predicting the exchange rate movement in a market. Third, there is evidence of the "profit-taking" behavior, or overshooting, in that a large jump (more than 3 absolute yen) in any market tends to be reversed by a fifth of the jump during the same day in the next market. Finally,the relative effects of news from the U.S. and Japan were examined explicitly both with respect to possible major events behind large jumps andthe response of the yen/dollar rate to particular economic announcements in both countries. Over the entire sample period, news concerning the U.S. money stock had the only significant effects.
