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査読

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.

本文言語English
ページ(範囲)17-26
ページ数10
ジャーナルJapan and The World Economy
24
1
DOI
出版ステータスPublished - 2012 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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