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1.
We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990’s in a GARCH framework with interventions as exogenous variables. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the effect of interventions varies over time. From 1991 up to the late 1990’s, Japanese foreign exchange intervention is associated with an increase in volatility of the yen/dollar exchange rate. After the year 1997, Japanese foreign exchange intervention correlates with reductions in exchange rate volatility. This can be explained by the fact that Japanese foreign exchange intervention remained quasi unsterilized in the liquidity trap.
Gunther SchnablEmail:
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2.
This paper examined the patterns of Japanese vocal intervention and its influence on the yen/dollar exchange rate using the daily data between January 2000 and August 2003. The major findings of this paper are as follows. First, vocal intervention that is leaning against the wind was found to be successful as opposed to lean-with-the-wind intervention which had mixed results in its effectiveness. Second, vocal intervention turned out to be more effective when it was intended for yen depreciation than for yen appreciation. Third, in the cases of leaning against the wind and yen depreciation intended interventions, the Japanese authorities normally relied on vocal intervention and engaged in actual intervention only when repeated vocal intervention proved ineffective.  相似文献   

3.
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 30 min of statistics announcements.  相似文献   

4.
This paper examines the effects of interest rate differentials as inflowing information into the forex market on the yen/dollar exchange rate and unexpected trading volume by a structural VAR model. The impulse responses show that the short-term interest rate differential affects the exchange rate through (a) UIP with little change in unexpected trading volume, and (b) different expectation revisions at different points in time with a high transaction volume. The effects of long-term interest rate differential on the exchange rate appear instantaneous with high trading volume, reflecting instantaneous reshuffling in international portfolio holdings of long-term assets.  相似文献   

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Zusammenfassung Ein Modell des Wechselkursverhaltens des Yen und der Deutschen Mark gegenüber dem Dollar. — Ziel dieser Untersuchung ist es, die kurz- und langfristigen Beziehungen zwischen bilateralen Wechselkursen und wirtschaftlichen Variablen zu bestimmen (Unterschiede im Geldangebot, Zinsdifferenzen, Abweichungen von der Kaufkraftparit?t, Unterschiede in der Inflationsrate, Industrieproduktion und Handelsbilanz). Statistische Tests auf Kointegration werden durchgeführt; und wenn die Hypothese “Keine Kointegration” zurückgewiesen wird, ergibt sich eine langfristige Gleichgewichtsbeziehung. Eine kurzfristige Beziehung wird im Rahmen eines Irrtumskorrektur-Modells gesch?tzt. Für den Yen/Dollar-Kurs ergeben sich lang- und kurzfristige Beziehungen, die ?konometrischen Tests standhalten. Für den DM/Dollar-Kurs ist die langfristige Beziehung zweifelhaft, aber eine kurzfristige Beziehung wird ermittelt. Das ist plausibel, wenn man die Effizienz des Devisenmarktes berücksichtigt.
Résumé Le modelage du comportement des cours du change du Yen et de la mark allemande envers le dollar. — L’intention de cette étude est de déterminer les rapports à court terme et à long terme entre les cours du change bilatéraux et des variables économiques comme les différences concernant l’offre monétaire, les taux d’intéréts, les taux d’inflation, l’activité industrielle ainsi que les déviations de la PPA et les balances commerciales. On fait des tests statistiques de cointégration. Si l’hypothèse de non-cointégration est rejeté, on obtient un rapport d’équilibre à long terme. On estime aussi un rapport à court terme en utilisant un modèle d’erreur-correction. En ce qui concerne le cours du change entre le Yen et le dollar, on obtient un rapport à long terme et à court terme qui satisfait des tests économétriques. Pour la DM/dollar relation, le rapport à long terme est douteux, mais un rapport à court terme est obtenu. Ce résultat est plausible si l’on considère l’efficience du marché des changes.

Resumen Modelando el comportamiento de la tasa de cambio del yen y del marco alemán frente al dólar. — El objetivo de este trabajo es determinar las relaciones de corto y largo plazo entre tasas de cambio bilaterales y variables económicas como las diferencias entre la oferta monetaria, entre las tasas de interés, entre las tasas de inflación, entre la actividad industrial, las deviaciones de la paridad del poder de compra y el saldo comercial. Se llevan a cabo tests estadisticos de cointegración y, en caso de rechazarse la hipótesis de no cointegración, se obtiene una relación de equilibrio de largo plazo. Se estima una relación de corto plazo utilizando un marco de correction de errores. Para la tasa yen/dólar se obtienen relaciones de corto y largo plazo que satisfacen tests econométricos. Para la tasa DM/dólar la relación de largo plazo es sospechosa; se obtiene una de corto plazo. Esto es plausible, dada la eficiencia con la cual funciona el mercado de cambios.
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7.
The study analyzes the interaction between the trading behaviour of 1024 moving average and momentum models and the fluctuations of the yen/dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the aggregate transactions and positions of technical models exert an excess demand pressure on currency markets since they are mostly on the same side of the market. When technical models produce trading signals almost all of them are either buying or selling, when they maintain open positions they are either long or short. A strong interaction prevails between exchange rate movements and the transactions triggered by technical models. An initial rise of the exchange rate due to news, e.g., is systematically lengthened through a sequence of technical buy signals.  相似文献   

8.
This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and Barndorff-Nielsen and Shephard, 2004, Barndorff-Nielsen and Shephard, 2006, we use bi-power variation to decompose daily realized volatility into two components: the smooth persistent and the discontinuous jump components. We model exchange rate returns, the different components of realized volatility and the central bank intervention using a system of simultaneous equations. We find strong support that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short-lived positive jumps, but were also persistent over time. We did not find any evidence that interventions were effective in influencing the exchange rate returns for the entire sample period.  相似文献   

9.
论港元联系汇率制   总被引:1,自引:0,他引:1  
冉波  庄友明 《特区经济》2004,(12):32-33
港元联系汇率制(以下简称港元联汇制)是1983年中英谈判的特殊的政治、经济态势下的产物,在将近120年的运行中,它在抵御外部因素对港元的冲击和维护香港经济的繁荣稳定上发挥了重要的作用。  相似文献   

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This study investigates whether daily logarithmic returns on the spot US dollar/Japanese yen (USD/Yen) for the period 3 March 1987 to 8 September 1993 displayed an underlying fractal structure. The analysis employed a rescaled range (R/S) technique, and revealed USD/Yen persistence which favoured continued depreciation of the USD. The results suggest the presence of time or memory effects in the currency. These effects were arbitrageable by speculators who by holding long Yen positions were able to earn positive returns.  相似文献   

13.
Zusammenfassung Einige Verbesserungen eines einfachen Modells des Verm?gensansatzes zur Wechselkursbestimmung unter besonderer Berücksichtigung des Wechselkurses zwischen dem amerikanischen und kanadischen Dollar. — Einfache Modelle des Verm?gensansatzes zur Wechselkursbestimmung enthalten formal nur ein Land mit drei Arten von Vcrm?gensanlagen : zinsloses Geld, ein verzinstes heimisches Wertpapier und ein verzinstes international gehandeltes Wertpapier. Diese Modelle sind nur unter sehr restriktiven Annahmen plausibel. Es ist der Zweck dieses Aufsatzes, die Struktur eines solchen Modells und die ihm zugrunde liegenden Annahmen darzustellen. Bei der einfachen Version dieses Ansatzes gibt es, so wie er benutzt wurde, mindestens drei Probleme: er ist bilateral, obwohl ein multilateraler Ansatz erforderlich w?re; er unterstellt wegen der leichteren mathematischen Handhabbarkeit den Fall eines ?kleinen Landes?, ohne die Zweckm?\igkeit dieser Annahme zu prüfen; er versucht für jedes Land, alle international gehandelten Wertpapiere in einem einzigen Netto-Wertpapierbestand zusammenzufassen. Nach der Untersuchung dieser Annahmen wird ein allgemeines Modell vorgeschlagen, das im wesentlichen einer solchen Kritik nicht ausgesetzt ist, und schlie\lich werden im Hinblick auf den Wechselkurs zwischen dem amerikanischen und kanadischen Dollar einige empirische Ergebnisse vorgelegt.
Résumé Quelques améliorations proposées d’un simple modèle de balance de portefeuille de la détermination du taux de change avec référence particulière au taux de dollar des E.U./dollar canadien. — Les simples modèles de balance de portefeuille des taux de change formalement n’incluent qu’un seul pays avec trois actifs: la monnaie pas portant des intérêts, un actif local portant des intérêts et un actif internationalement commer?able qui porte des intérêts. Ces modèles ne sont plausibles que sous des suppositions très restrictives. Le but de cet article est d’éclairer la structure et les suppositions d’un tel modèle. Il y a au moins trois problèmes avec la simple approche appliquée : elle est bilaterale quoique une approche multilaterale soit exigée; elle emploie la supposition de petit pays à cause de la traitabilité mathématique sans tester si elle est justifiée et elle essaie d’agréger tous les actifs internationalement commercés dans un seul stock d’actif net pour chaque pays. Puis les auteurs proposent un modèle plus général qui est largement exempt de ces critiques et, finalement, ils présentent quelques résultats empiriques pour le taux du dollar des E.U./dollar canadien.

Resumen Algunos mejoramientos sugeridos para un modelo de cartera de equilibrio simple para la determinatión del tipo de cambio con especial referencia a la relación cambiaria U.S. dólar/dólar canadiense. — Modelos de cartera de equilibrio simple para la determination de tipos de cambio formalmente involucran a un solo país con tres activos: dinero no portador de intereses, un activo doméstico portador de intereses y un activo portador de intereses transable internacionalmente. Estos modelos son solamente plausibles bajo supuestos muy restrictivos. El propósito de este artfculo es esbozar la estructura y supuestos de un modelo de este tipo. Hay por lo menos tres problemas con el planteamiento de cartera de equilibrio simple como se ha aplicado: que es bilateral cuando se necesita una aproximación multilateral; que emplea el supuesto de un país peque?o por razones de manejo matemático sin comprobar si es apropiado; y que pretende desplomar todos los activos transados internacionalmente dentro de un stock de activos neto único para cada país. En seguida se propone un modelo más general que está en su mayor libre de estas críticas y finalmente, con referencia a la relación cambiaria U.S. dólar/dólar canadiense, se presentan algunos resultados empíricos.
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14.
The paper examines volatility of RMB exchange rate return of onshore and offshore markets. The onshore rate covered 4/01/2008–5/09/2016 while offshore spanned 31/12/2008-22/09/2016, the returns were not normally distributed and were integrated of order zero I(0). The Ljung-Box Q statistics depicts the presence of autocorrelation in return series and Ljung-Box Qstatistics of power transformed for conditional heteroscedasticity for lags of 6, 12 and 20 all indicated the presence of conditional heteroscedascity. The exchange rates volatility was persistent in both markets. However, offshore return was more persistent while leverage effects exist in both markets. Asymmetry power Autoregressive conditional Heteroscedastic (APARCH) model was the best model for forecasting purposes in both markets while Glosten, Jogannathan and Rankle, Generalized Autoregressive conditional Heteroscedastic (GJR-GARCH) model and Integrated Generalized Autoregressive conditional Heteroscedastic (I-GARCH) were the worst models in onshore and offshore return markets respectively. APARCH model should be adopted for future studies.  相似文献   

15.
This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro–US dollar and US dollar–yen currency pairs across the five trading regions: Asia, Asia–Europe overlap, Europe, Europe–America overlap and America. Modelling the interaction between returns and volatility in an autoregressive five-equation system, we find evidence that depreciation of the US dollar against the yen has a greater impact on the US dollar–yen volatility spill-over than appreciation in the subprime crisis period. Appreciation and depreciation of the US dollar against the euro does not appear to have an asymmetric effect on the euro–US dollar volatility spill-over. Our results support the notion that the yen may have been preferred to the euro as a ‘safe-haven’ currency relative to the US dollar during the subprime crisis period.  相似文献   

16.
Whether a real devaluation ultimately proves to be expansionary or contractionary depends on whether the boost given to the exportables sector offsets any possible output-depressing effects that may accompany the expenditure-switching policy. Failure of the exportables sector to adequately respond to the price incentives is a virtual guarantee that devaluation will be contractionary. This appears to have been the experience of Indonesia, the country worst hit by the crisis of 1997–1998. This paper explores whether the increased exchange rate variability of the Indonesian rupiah post 1997 may have been a cause for the country's poor export performance. J. Japanese Int. Economies 18 (2) (2004) 218–240.  相似文献   

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This paper studies the relationship between real financial market exchange rate volatility and US cross-border equity flows. We found strong evidence that causality goes from real financial market exchange rate volatility to equity flows. According to our results, real financial market exchange rate volatility negatively influences purchases of foreign equity. This finding is in line with the portfolio optimization theory. The impact of real financial market exchange rate volatility on sales of foreign equity is also negative. This result can be explained by the theory of behavioral finance which states that investors are reluctant to realize losses of their portfolios. This is why investors decrease sales of assets when riskiness of the assets increases. The impact of real financial market exchange rate on net purchases of foreign equity is positive. It follows from these results that sales of foreign equity decrease more strongly than purchases of foreign equity when riskiness of foreign assets increases.  相似文献   

19.
The short-run reaction of Euro returns volatility to a wide range of macroeconomic announcements is investigated using 5-min returns for spot Euro–Dollar, Euro–Sterling and Euro–Yen exchange rates. The marginal impact of each individual macroeconomic announcement on volatility is isolated whilst controlling for the distinct intraday volatility pattern, calendar effects, and a latent, longer run volatility factor simultaneously. Macroeconomic news announcements from the US are found to cause the vast majority of the statistically significant responses in volatility, with US monetary policy and real activity announcements causing the largest reactions of volatility across the three rates. ECB interest rate decisions are also important for all three rates, whilst UK Industrial Production and Japanese GDP cause large responses for the Euro–Sterling and Euro–Yen rates, respectively. Additionally, forward looking indicators and regional economic surveys, the release timing of which is such that they are the first indicators of macroeconomic performance that traders observe for a particular month, are also found to play a significant role.  相似文献   

20.
Divergence Indicators and the Volatility Smoothness in Semi-Fixed Exchange Rate Regimes. —Fixed or semi-fixed exchange rate regimes have volatility paths that are in general less smooth than their free floating counterpart. Moreover, there tends to be a correlation between the lack of smoothness and the weakness of the currency. In this article, the effects of divergence from central parity on the smoothness of the volatility are discussed within the framework of a TGARCH model. It is shown that, for various EMS rates, the divergence indicator has a statistically significant effect on the smoothness of the volatility path.  相似文献   

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