Matches in SemOpenAlex for { <https://semopenalex.org/work/W1566011498> ?p ?o ?g. }
Showing items 1 to 74 of
74
with 100 items per page.
- W1566011498 abstract "The yen provided foreign exchange market participants with 'once-in-a-generation' volatility movements in 1998. For instance, after many months of uneven yen depreciation a remarkable period of yen appreciation was experienced where, in one two-day period, the U.S. dollar dropped in value by 20 yen, market-makers were refusing to quote yen/dollar prices for more than $1 million, and funds with short yen positions incurred massive losses. Not since the early 1970s has the yen-dollar exchange rate experienced such shifts. Analysts claimed that the yen reversal was due to order flow driven by changing tastes for risk and hedge-fund herding on unwinding yen 'carry trade' positions rather than any fundamentals related to the yen. In this paper, we examine the high-frequency evidence on the yen/dollar exchange rate in 1998 and provide a detailed characterization of the return volatility. Evidence of shifting fundamentals is provided by a comprehensive list of macroeconomic announcements from both the U.S. and Japan. While macroeconomic announcements and intervention are found to have significant effects on volatility, our results lead to the conclusion that order flow played a more important role than news regarding fundamentals. Evidence regarding the independent effect of order flow was provided by spot, forward, and futures positions of major market participants. These position changes are found to be significant determinants of volatility. Since such 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 the associated exchange rate shifts." @default.
- W1566011498 created "2016-06-24" @default.
- W1566011498 creator A5013146969 @default.
- W1566011498 creator A5019956205 @default.
- W1566011498 creator A5045099368 @default.
- W1566011498 creator A5051594129 @default.
- W1566011498 date "2000-01-01" @default.
- W1566011498 modified "2023-09-23" @default.
- W1566011498 title "'Once-in-a-Generation' Yen Volatility in 1998: Fundamentals, Intervention, and Order Flow" @default.
- W1566011498 cites W1547693874 @default.
- W1566011498 cites W1969374033 @default.
- W1566011498 cites W1989824032 @default.
- W1566011498 cites W1998929897 @default.
- W1566011498 cites W2002032630 @default.
- W1566011498 cites W2007514734 @default.
- W1566011498 cites W2033116783 @default.
- W1566011498 cites W2036760811 @default.
- W1566011498 cites W2052863138 @default.
- W1566011498 cites W2057418282 @default.
- W1566011498 cites W2057686864 @default.
- W1566011498 cites W2076126690 @default.
- W1566011498 cites W2146399390 @default.
- W1566011498 cites W2151073625 @default.
- W1566011498 cites W2158249746 @default.
- W1566011498 cites W2170530643 @default.
- W1566011498 cites W3121329626 @default.
- W1566011498 cites W3121966070 @default.
- W1566011498 cites W3123217382 @default.
- W1566011498 cites W3123254653 @default.
- W1566011498 cites W654668741 @default.
- W1566011498 cites W2205985015 @default.
- W1566011498 doi "https://doi.org/10.2139/ssrn.201029" @default.
- W1566011498 hasPublicationYear "2000" @default.
- W1566011498 type Work @default.
- W1566011498 sameAs 1566011498 @default.
- W1566011498 citedByCount "16" @default.
- W1566011498 countsByYear W15660114982012 @default.
- W1566011498 countsByYear W15660114982013 @default.
- W1566011498 countsByYear W15660114982014 @default.
- W1566011498 countsByYear W15660114982015 @default.
- W1566011498 crossrefType "journal-article" @default.
- W1566011498 hasAuthorship W1566011498A5013146969 @default.
- W1566011498 hasAuthorship W1566011498A5019956205 @default.
- W1566011498 hasAuthorship W1566011498A5045099368 @default.
- W1566011498 hasAuthorship W1566011498A5051594129 @default.
- W1566011498 hasConcept C106159729 @default.
- W1566011498 hasConcept C149782125 @default.
- W1566011498 hasConcept C162324750 @default.
- W1566011498 hasConcept C165556158 @default.
- W1566011498 hasConcept C556758197 @default.
- W1566011498 hasConcept C91602232 @default.
- W1566011498 hasConceptScore W1566011498C106159729 @default.
- W1566011498 hasConceptScore W1566011498C149782125 @default.
- W1566011498 hasConceptScore W1566011498C162324750 @default.
- W1566011498 hasConceptScore W1566011498C165556158 @default.
- W1566011498 hasConceptScore W1566011498C556758197 @default.
- W1566011498 hasConceptScore W1566011498C91602232 @default.
- W1566011498 hasLocation W15660114981 @default.
- W1566011498 hasOpenAccess W1566011498 @default.
- W1566011498 hasPrimaryLocation W15660114981 @default.
- W1566011498 hasRelatedWork W2025017477 @default.
- W1566011498 hasRelatedWork W2025261354 @default.
- W1566011498 hasRelatedWork W2109747684 @default.
- W1566011498 hasRelatedWork W2292853550 @default.
- W1566011498 hasRelatedWork W2605505597 @default.
- W1566011498 hasRelatedWork W3041079455 @default.
- W1566011498 hasRelatedWork W3099150769 @default.
- W1566011498 hasRelatedWork W3122698084 @default.
- W1566011498 hasRelatedWork W3123599701 @default.
- W1566011498 hasRelatedWork W3125784162 @default.
- W1566011498 isParatext "false" @default.
- W1566011498 isRetracted "false" @default.
- W1566011498 magId "1566011498" @default.
- W1566011498 workType "article" @default.