Electronic Resource
Springer
Asia Pacific financial markets
1 (1994), S. 111-128
ISSN:
1573-6946
Keywords:
Economic announcements
;
Dollar/Yen exchange rate
;
Volatility
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract The paper examines the impact of major U.S. macroeconomic announcements on the Dollar/Yen exchange rate. We find that these announcements are responsible for most intraday and day-of-the-week volatility patterns in this market and we identify the most important announcements. The initial reaction to a major 8:30 announcement begins around 8:30:10 and lasts until about 8:30:50. A partial price correction is normally observed between 8:31 and 8:32. Price movements after 8:32 are basically independent of those observed earlier although volatility continues to be higher than normal until about 8:55.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02425192
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