Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system

This paper examines intraday patterns of the exchange rate behavior, using the “firm” bid–ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intraday activities (deals and price changes) is confirmed for Tokyo and London participants, but not for New York participants. Activities do not increase toward the end of business hours in the New York market, even on Fridays (ahead of weekend hours of non-trading). Return volatility is found to have intraday patterns similar to those of activities, and volatility and the bid–ask spread is negatively correlated. A negative correlation is observed between the number of deals and the width of bid–ask spread during business hours. It is also found that the concentration of transaction during overlapping business hours between Tokyo and London markets (London and New York markets) may arise from heterogeneous expectations among participants from different regions. J. Japanese Int. Economies 20 (4) (2006) 637–664.     

Spatial Competition in Variety and Number of Stores

We propose location-then-variety competition for a multiproduct and multi-store oligopoly, in which the number of firms, the number of stores and their location, and the number of varieties are endogenously determined. We show that as compared to price-then-variety and quantity-then-variety competition, location-then-variety competition with multistores yields a much richer set of equilibrium outcomes, such as market segmentation, interlacing, sandwich, and enclosure.     

Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture

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.     

China as Number One: How about the Renminbi?

Using simulations projecting Chinese economic growth into the future, this paper first examines when China will overtake the USA to become the largest economy. Demographic changes that affect economic growth are taken into consideration in these projections. China is expected to become number one sometime in the mid-2020s, unless its growth rate of gross domestic product per worker declines dramatically, à la the lost decade of Japan. Next, the paper examines whether China becoming the number one economy will mean its currency, the renminbi (RMB), will become the international key currency. According to the basket currency regressions during the period that Chinese currency was gradually appreciating against the US dollar from July 2005 to August 2008, it is shown that the RMB has already acquired a strong influence on the Asian currencies. This shows that the RMB is fast gaining the status of a regional anchor currency for a possible regional joint float. As the Chinese government proceeds with internationalization of its currency, the RMB is expected to gain in the ranking of other aspects of international currency, such as the store of value and the medium of exchange.     

人民币钉住美元面临重大选择

很高兴参与这个项目,我今天主要和大家讨论一些与汇率相关的问题,提点建议:     

Stability with regime switching

The purpose of this paper is to analyze the stability of systems of piecewise continuous differential equations, and to apply the results to a disequilibrium economic model. The discontinuity problem appears in disequilibrium models because of the so-called “short-side” rule. The concept of Filippov solution makes it possible to analyze the dynamic evolution of such a model. This paper demonstrates that (i) stability conditions for each subsystem are neither necessary nor sufficient for overall stability, except in special cases such as a system of linear differential equations in R² with two regimes separated by a linear boundary; (ii) several sufficient conditions for overall stability with many regimes are available; and (iii) stability theorems with regime switching are useful for disequilibrium economic models with several regimes.