haku: @freeterm ORDER FLOW / yhteensä: 2
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Tekijä: | Cai, J. (et al.) |
Otsikko: | "Once-in-a-generation" yen volatility in 1998: fundamentals, intervention, and order flow |
Lehti: | Journal of International Money and Finance
2001 : JUN, VOL. 20:3, p. 327-347 |
Asiasana: | CENTRAL BANKS EXCHANGE RATES JAPAN |
Vapaa asiasana: | INTERVENTION ORDER FLOW |
Kieli: | eng |
Tiivistelmä: | 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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