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Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture

Yuko Hashimoto and Takatoshi Ito ()

Journal of the Japanese and International Economies, 2010, vol. 24, issue 3, 334-354

Abstract: Using high-frequency transaction data of the actual trading platform, we examine market impact of Japanese macroeconomic statistics news within minutes of their announcements on the dollar/yen exchange rate. Macroeconomic statistics surprises that consistently have significant effect on dollar/yen returns include Tankan (business condition survey conducted by Bank of Japan), GDP, industrial production, price indices and balance of payment. The announcement itself, in addition to the magnitude of the surprise, is found to increase the number of deals and price volatility immediately after the announcement. Most effects, when significant, take place within 30Â min of statistics announcements.

Keywords: Exchange; rate; High-frequency; data; Market; microstructure; Macro; statistic; announcement (search for similar items in EconPapers)
Date: 2010
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Handle: RePEc:eee:jjieco:v:24:y:2010:i:3:p:334-354