Hashimoto, Yuko; Ito, Takatoshi - In: Journal of the Japanese and International Economies 24 (2010) 3, pp. 334-354
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...