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- W2415668729 abstract "This paper studies the high frequency reaction of the Yen/Dollar exchange rate to announced macroeconomic information emanating from Japan and the U.S. We use data sampled at a five-minute frequency over a period from six years, from January 2001 to December 2006. We find that only announced surprises of the U.S. news produce impacts both on the conditional returns and its volatilities of the Yen/Dollar exchange rate and that those of Japanese news have much less impacts. The effects on the returns and those on the volatilities appear with delay." @default.
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- W2415668729 date "2009-01-01" @default.
- W2415668729 modified "2023-09-27" @default.
- W2415668729 title "News Effects on High Frequency Yen/Dollar Exchange Rate and its Volatility Behavior #" @default.
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