'Once-in-a-generation' yen volatility in 1998 : Fundamentals, intervention, and order flow
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 327-347 |
| Journal / Publication | Journal of International Money and Finance |
| Volume | 20 |
| Issue number | 3 |
| Publication status | Published - Jun 2001 |
Link(s)
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.
In: Journal of International Money and Finance, Vol. 20, No. 3, 06.2001, p. 327-347.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
