Information arrival, interest rate differentials, and yen/dollar exchange rate

Yoshihiro Kitamura, Hiroya Akiba

研究成果: Article査読

4 被引用数 (Scopus)

抄録

This paper examines the effects of interest rate differentials as inflowing information into the forex market on the yen/dollar exchange rate and unexpected trading volume by a structural VAR model. The impulse responses show that the short-term interest rate differential affects the exchange rate through (a) UIP with little change in unexpected trading volume, and (b) different expectation revisions at different points in time with a high transaction volume. The effects of long-term interest rate differential on the exchange rate appear instantaneous with high trading volume, reflecting instantaneous reshuffling in international portfolio holdings of long-term assets.

本文言語English
ページ(範囲)108-119
ページ数12
ジャーナルJapan and The World Economy
18
1
DOI
出版ステータスPublished - 2006 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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