'Once-in-a-generation' yen volatility in 1998 : Fundamentals, intervention, and order flow

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

  • Jun Cai
  • Yan-Leung Cheung
  • Raymond S.K. Lee
  • Michael Melvin

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)327-347
Journal / PublicationJournal of International Money and Finance
Volume20
Issue number3
Publication statusPublished - Jun 2001

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. © 2001 Elsevier Science Ltd.

Research Area(s)

  • C22, Central bank intervention, Exchange rate volatility, F31, G14, G15, News announcements, Order flow, Private information

Citation Format(s)

'Once-in-a-generation' yen volatility in 1998 : Fundamentals, intervention, and order flow. / Cai, Jun; Cheung, Yan-Leung; Lee, Raymond S.K. et al.

In: Journal of International Money and Finance, Vol. 20, No. 3, 06.2001, p. 327-347.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review