Fatum, Rasmus; Hutchison, Michael M.; Wu, Thomas Yen Hon - 2008
No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news … expectations, on the intraday JPY/USD exchange rate. We show that, overall, Japanese news surprises exert a similar influence on … the 5-minute JPY/USD exchange rate returns as U.S. news surprises and, specifically, two of the four most influential …