`Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow
Article Abstract:
The dramatic yen/dollar volatility of 1998 has been popularly ascribed to order flow driven by changing tastes for risk and hedge-fund herding on unwinding yen `carry trade' positions rather than fundamentals. High-frequency evidence of shifting fundamentals is provided by a comprehensive list of macroeconomic announcements. News is found to have significant effects on volatility, but order flow may play a more important role. Since portfolio shifts are revealed to the market through trading, the results are consistent with order flow playing a significant role in the revelation of private information and associated exchange rate shifts. [C] 2001 Elsevier Science Ltd. All rights reserved. JEL classification: F31; G14; G15; C22 Keywords: Exchange rate volatility; Private information; Order flow; News announcements; Central bank intervention
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 2001
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Extreme support for uncovered interest parity
Article Abstract:
The rejection of uncovered interest parity (UIP) is not as serious as is usually found with customary time series tests. The approximated slope coefficients are substantially bigger than zero and equivalent to 0.5 on average. Nonetheless, the approximated slope coefficient is substantially distinct from 1 and UIP still requires to be rejected. The approximated slope coefficient is not markedly different from 1 and UIP cannot be spurned in these unusual durations.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1998
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