Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - In: Journal of the Japanese and International Economies 26 (2012) 4, pp. 542-560
This paper investigates the possible asymmetric response of 5-min intraday JPY/USD exchange rates to macroeconomic news announcements during 1999–2006 when the Japanese money market interest rate was effectively zero. This period provides a unique institutional setting when interest rates may...