'Once-in-a-generation’ yen volatility in 1998: Fundamentals, intervention, and order flow
Author(s)
Author(s)
Cai, J.
Lee, R. S. K.
Melvin, M.
Date Issued
2001
Publisher
Elsevier
Journal
Journal of International Money and Finance
Volume
20
Issue
3
Start page
327
End page
347
Abstract
The dramatic yen/dollar volatility of 1998 has been popularly 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 by a comprehensive list of macroeconomic announcements. News is found to have significant effects on volatility, but order flow may play a more important role. Since portfolio shifts are revealed to the market through trading, the results are consistent with order flow playing a significant role in the revelation of private information and associated exchange rate shifts.
SFU Affiliated Publication
No
Availability at SFU Library
No database links found.