Informational linkages among the major currencies in the EBS market: Evidence from the spot rates of the Euro, Yen and Swiss franc

研究成果: Article

抄録

Using high-frequency data on the Euro, Yen and Swiss franc, this paper examines whether the permanent (informational) component of one currency's variance explains the variances of the other currencies as well. Previous studies have not considered this interdependency among currencies. A variance decomposition shows that trade-correlated news on the Euro effectively contributes to the variance of the Swiss franc. In addition, for these two currencies, non-trade-correlated news on one currency reciprocally affects the other. The findings suggest that prior studies may have overestimated the impact of trade-correlated news about a currency on its own permanent variance.

元の言語English
ページ(範囲)17-26
ページ数10
ジャーナルJapan and the World Economy
24
発行部数1
DOI
出版物ステータスPublished - 2012 1

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Euro
Swiss
currency
market
evidence
news
Linkage
Currency
News

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Political Science and International Relations

これを引用

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abstract = "Using high-frequency data on the Euro, Yen and Swiss franc, this paper examines whether the permanent (informational) component of one currency's variance explains the variances of the other currencies as well. Previous studies have not considered this interdependency among currencies. A variance decomposition shows that trade-correlated news on the Euro effectively contributes to the variance of the Swiss franc. In addition, for these two currencies, non-trade-correlated news on one currency reciprocally affects the other. The findings suggest that prior studies may have overestimated the impact of trade-correlated news about a currency on its own permanent variance.",
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