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| Author: | Cai, J. (et al.) |
| Title: | "Once-in-a-generation" yen volatility in 1998: fundamentals, intervention, and order flow |
| Journal: | Journal of International Money and Finance
2001 : JUN, VOL. 20:3, p. 327-347 |
| Index terms: | CENTRAL BANKS EXCHANGE RATES JAPAN |
| Freeterms: | INTERVENTION ORDER FLOW |
| Language: | eng |
| Abstract: | The dramatic yen/dollar volatility of 1998 has been populary ascribed to order flow driven by changing tastes for risk and hedge-fund herding on unwinding yen "carry trade" positions rather than fundamentals. High-frequency evidence of shifting fundamentals is provided be a comprehensive list of macroeconomic announcements. News is found to have significant effects on volatility, but order flow may play a more important role. |
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