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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market

Elliott, Graham - 1995

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...

Persistent link: https://www.econbiz.de/10012473491

For a Few Dollars More : Reserves and Growth in Times of Crises

Bussière, Matthieu - 2014

Based on a dataset of 112 emerging economies and developing countries, this paper addresses two key questions regarding the accumulation of international reserves: first, has the accumulation of reserves effectively protected countries during the 2008-09 financial crisis? And second, what...

Persistent link: https://www.econbiz.de/10012458872

Latin America and East Asia in the Context of an Insurance Model of Currency Crises

Chinn, Menzie D. - 1999

This paper focuses on the 1995 Latin American and 1997 East Asian crises using an insurance-based model of financial crises. First the model of Dooley (forthcoming) is described. Second, some empirical evidence for an insurance model is presented. The key variables in this approach include the...

Persistent link: https://www.econbiz.de/10012471706

High Frequency Contagion of Currency Crises in Asia

Ito, Takatoshi - 2002

Using daily data during the period of Asian Currency Crises, this paper examines high-frequency contagion effects among Asian six countries. By identifying the origin' (of exchange rate depreciation, or decline in stock prices) and the affected' (currencies, or stock prices) in spillover...

Persistent link: https://www.econbiz.de/10012469327

International Reserves and the Global Financial Crisis

Dominguez, Kathryn M.E. - 2011

This study examines whether pre-crisis international reserve accumulations, as well as exchange rate and reserve policy decisions made during the global financial crisis, can help to explain cross-country differences in post-crisis economic performance. Our approach focuses not only on the total...

Persistent link: https://www.econbiz.de/10012461296

Random Walk or A Run : Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability

Hashimoto, Yuko - 2008

Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a …

Persistent link: https://www.econbiz.de/10012464487

Productivity and the Euro-Dollar Exchange Rate Puzzle

Alquist, Ron - 2002

This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985 … the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area … estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity …

Persistent link: https://www.econbiz.de/10012469891

High-Frequency Contagion Between the Exchange Rates and Stock Prices

Hashimoto, Yuko - 2004

This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of high-frequency...

Persistent link: https://www.econbiz.de/10012468245

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate : High-Resolution Picture

Hashimoto, Yuko - 2009

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...

Persistent link: https://www.econbiz.de/10012463629

Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-day Activity Revealed in the Electronic Broking System

Ito, Takatoshi - 2004

This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and...

Persistent link: https://www.econbiz.de/10012467833