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Year of publication
Subject
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Yen 949 US-Dollar 507 US dollar 490 Wechselkurs 445 Japan 434 Exchange rate 433 Welt 238 World 233 Euro 171 Schätzung 166 Estimation 160 Deutsche Mark 157 Pfund Sterling 156 Pound Sterling 153 USA 147 United States 141 Volatilität 139 Volatility 133 Theorie 126 Theory 125 Wechselkurspolitik 118 Exchange rate policy 113 Schweizer Franken 88 Devisenmarkt 86 Kaufkraftparität 86 Währungsderivat 86 Currency derivative 85 Foreign exchange market 84 Swiss franc 84 Purchasing power parity 82 Währungsspekulation 56 Forecasting model 54 Prognoseverfahren 54 Currency speculation 52 Reservewährung 52 Währungsunion 52 Internationales Währungssystem 51 International financial market 49 Internationaler Finanzmarkt 49 Reserve currency 49
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Online availability
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Free 291 Undetermined 45
Type of publication
All
Article 528 Book / Working Paper 439
Type of publication (narrower categories)
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Article in journal 442 Aufsatz in Zeitschrift 442 Working Paper 220 Arbeitspapier 194 Graue Literatur 194 Non-commercial literature 194 Aufsatz im Buch 53 Book section 53 Hochschulschrift 14 Thesis 14 Konferenzschrift 5 Bibliografie enthalten 4 Bibliography included 4 Collection of articles of several authors 4 Conference proceedings 4 Rezension 4 Sammelwerk 4 Conference paper 3 Konferenzbeitrag 3 Article 2 Collection of articles written by one author 2 Sammlung 2 Amtsdruckschrift 1 Aufsatzsammlung 1 Government document 1
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Language
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English 877 Undetermined 46 French 20 German 19 Dutch 2 Spanish 2 Italian 1
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Author
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Schnabl, Gunther 39 Itō, Takatoshi 28 Ito, Takatoshi 24 MacDonald, Ronald 24 Hartmann, Philipp 17 Fratzscher, Marcel 13 Satō, Kiyotaka 13 Batten, Jonathan A. 12 Frankel, Jeffrey A. 12 Frenkel, Michael 12 McKinnon, Ronald I. 12 Schulmeister, Stephan 12 Detken, Carsten 11 Ogawa, Eiji 11 Kwan, Chi-hung 10 Beine, Michel 9 Shimizu, Junko 9 Takayasu, Hideki 9 Hashimoto, Yūko 7 Melvin, Michael 7 Stadtmann, Georg 7 Søndergaard, Jens 7 Takagi, Shinji 7 Aggarwal, Raj 6 Bénassy-Quéré, Agnès 6 Castrén, Olli 6 Hillebrand, Eric 6 Kapetanios, George 6 McAleer, Michael 6 Ohnishi, Takaaki 6 Ranaldo, Angelo 6 Söderlind, Paul 6 Takayasu, Misako 6 Volz, Ulrich 6 Aizenman, Joshua 5 Barro, Robert J. 5 Belke, Ansgar 5 Cheung, Yin-Wong 5 Chinn, Menzie David 5 Elliott, Graham 5
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Institution
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National Bureau of Economic Research 17 Center for Pacific Basin Monetary and Economic Studies, Economic Research 4 East Asian Bureau of Economic Research (EABER) 3 EconWPA 3 Federal Reserve Bank of San Francisco 3 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 3 Internationaler Währungsfonds / Research Department 3 Japan-Zentrum <Vallendar> 3 American Committee on Asian Economic Studies 2 Australia Japan Research Centre 2 Centre d'études prospectives et d'informations internationales (CEPII) 2 European Central Bank 2 Federal Reserve Bank of Kansas City 2 Federal Reserve Bank of New York 2 Federal Reserve Board (Board of Governors of the Federal Reserve System) 2 LAboratoire Montpelliérain d'Économie Théorique et Appliquée (LAMETA), Faculté de sciences économiques 2 School of Economics and Finance, Queen Mary 2 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 2 Australian National University / Faculty of Economics and Commerce 1 BBVA Research, Grupo BBVA 1 Bank of Tokyo 1 Banque de France / Direction des Etudes Economiques et de la Recherche 1 C.E.P.R. Discussion Papers 1 CESifo 1 Center for Financial Studies 1 Centre for Economic Policy Research 1 Conference on Currency Appreciation and Structural Economic Change - a Comparison of the Experiences with Yen and Deutschmark Appreciation <1996, Tokio> 1 Federal Reserve Bank of San Francisco / Center for Pacific Basin Monetary and Economic Studies 1 Federal Reserve Bank of St. Louis 1 Harvard Institute of Economic Research 1 Institute for Social Science Research, UCLA 1 Instituto Mobiliare Italiano, Montedison 1 Internationaler Währungsfonds / Western Hemisphere Department 1 Nihon-Kaihatsu-Ginkō <Tokio> / Economic and Industrial Research Department 1 Princeton University / International Economics Section 1 Queen Mary College / Department of Economics 1 School of Economics and Political Science <Sydney> / Discipline of Economics 1 Siirtymätalouksien tutkimuslaitos, Suomen Pankki 1 Studiecentrum voor Economisch en Sociaal Onderzoek / Vakgroep Macro-Economie 1 Symposium on Japanese Trade and Investment in Asia <1998, Chicago, Ill.> 1
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Published in...
All
Journal of international money and finance 24 Journal of the Japanese and international economies : an international journal ; JJIE 24 Japan and the world economy : international journal of theory and policy 21 Working paper / National Bureau of Economic Research, Inc. 19 NBER working paper series 17 NBER Working Paper 14 ECB Working Paper 12 Journal of Asian economics 11 RIETI discussion paper / Research Institute of Economy, Trade and Industry 11 IMF working paper 10 Working paper series / European Central Bank 10 Journal of international financial markets, institutions & money 9 The journal of futures markets 9 Tübinger Diskussionsbeiträge 9 Applied financial economics 8 Discussion paper / Centre for Economic Policy Research 7 Economie & prévision : EP 7 International review of economics & finance : IREF 7 Proceedings / Federal Reserve Bank of San Francisco 7 Applied economics 6 FRBSF Economic Letter 6 Global finance journal 6 Journal of banking & finance 6 Applied economics letters 5 CESifo Working Paper Series 5 Financial engineering and the Japanese markets 5 International journal of finance & economics : IJFE 5 The world economy : the leading journal on international economic relations 5 WIFO working papers 5 Working paper series / European Central Bank ; Eurosystem 5 ADBI Working Paper 4 CESifo working papers 4 Discussion paper series / A / Institute of Economic Research 4 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 4 IMES discussion paper series / Englische Ausgabe 4 International review of financial analysis 4 JEI report : a two-part report: A and B 4 Journal of economics and finance 4 Journal of forecasting 4 Journal of the Asia Pacific economy 4
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Source
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ECONIS (ZBW) 869 RePEc 65 EconStor 28 USB Cologne (EcoSocSci) 4 BASE 1
Showing 1 - 50 of 967
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News and the Dollar/Yen Exchange Rate, 1931-1933 : the End of the Gold Standard, Imperialism, and the Great Depression
Ito, Takatoshi; Okina, Kunio; Teranishi, Juro - 2022
According to the efficient market hypothesis, news in Tokyo is responsible for the exchange rate changes during the Tokyo market hours, while the U.S. news is responsible for changes in the New York hours. The intra-daily dynamics of the $/yen exchange rate from December 1931 to November 1933 is...
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External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices
Sultonov, Mirzosaid - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential...
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The Rise of the Yen Vis-a-Vis the ('Synthetic') Euro : Is it Supported by Economic Fundamentals?
Osbat, Chiara; Rueffer, Rasmus; Schnatz, Bernd - 2021
This paper examines the long-run determinants of the euro-yen exchange rate. Using cointegration analysis, we find a consistent and significant relationship between the real exchange rate and relative productivity, the net foreign asset position, relative government spending and terms of trade...
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The Euro Bloc, the Dollar Bloc and the Yen Bloc : How Much Monetary Policy Independence Can Exchange Rate Flexibility Buy in an Interdependent World?
Fratzscher, Marcel - 2021
The paper analyses the trade-off between exchange rate flexibility and monetary policy autonomy. It tests empirically the "Possible Duality" hypothesis, i.e. whether countries with more flexible currency regimes are indeed able to exert more monetary policy autonomy than those with less flexible...
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Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate : A Simultaneous Equations Approach Using Realized Volatility
Hillebrand, Eric T.; Schnabl, Gunther; Ulu, Yasemin - 2021
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...
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A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility
Hillebrand, Eric T.; Schnabl, Gunther - 2021
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...
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A Factor Risk Model with Reference Returns for the Us Dollar and Japanese Yen Bond Markets
Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2021
This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...
Persistent link: https://ebtypo.dmz1.zbw/10013317575
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Short-Term and Long-Term Expectations of the Yen/Dollar Exchange Rate : Evidence from Survey Data
Frankel, Jeffrey A.; Froot, Kenneth - 2021
Three surveys of exchange rate expectations allow us to measure directly the expected rates of return on yen versus dollars. Expectations of yen appreciation against the dollar have been (1) consistently large, (2) variable, and (3) greater than the forward premium, implying that investors were...
Persistent link: https://ebtypo.dmz1.zbw/10013218532
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Foreign Exchange Option and Returns Based Correlation Forecasts : Evaluation and Two Applications
Castren, Olli; Mazzotta, Stefano - 2021
We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...
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Do Options-Implied Rnd Functions on G3 Currencies Move Around the Times of Interventions on the Jpy/Usd Exchange Rate?
Castren, Olli - 2021
This paper focuses on changes in the currency options market's assessment of likely future exchange rate developments around the times of official interventions in the JPY/USD exchange rate. We estimate the options-implied risk-neutral density functions (RNDs) using daily OTC quotes for options...
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Do Financial Market Variables Show (Symmetric) Indicator Properties Relative to Exchange Rate Returns?
Castren, Olli - 2021
This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...
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The Yen and its East Asian Neighbors, 1980-1995 : Cooperation or Competition?
Takagi, Shinji - 2021
By looking at how an East Asian currency moves when the yen fluctuates sharply against the US dollar, we sometimes find that the reaction has been much more significant than would be suggested by the econometric estimates of the weight of the yen in nominal exchange rate determination. Moreover,...
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How Did the Dollar Peg Fail in Asia?
Ito, Takatoshi; Ogawa, Eiji; Sasaki, Yuri Nagataki - 2021
In this paper we have constructed a theoretical model in which Asian firms maximize their profit, competing with Japanese and US firms in their markets. The duopoly model is used to determine export prices and volumes in response to the exchange rate fluctuations vis-...-vis the Japanese yen and...
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Intraday Yen/Dollar Exchange Rate Movements : News or Noise?
Ito, Takatoshi; Roley, V. Vance - 2021
Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of...
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Optimal Currency Areas
Alesina, Alberto F.; Barro, Robert J.; Tenreyro, Silvana - 2021
As the number of independent countries increases and their economies become more integrated, we would expect to observe more multi-country currency unions. This paper explores the pros and cons for different countries to adopt as an anchor the dollar, the euro, or the yen. Although there appear...
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Short-Run and Long-Run Expectations of the Yen/Dollar Exchange Rate
Ito, Takatoshi - 2021
The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short horizon (one month) are of the band-wagon type while the expected changes in the long horizon (three to...
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On the Driving Forces of Real Exchange Rates : Is the Japanese Yen Different?
Maio, Paulo F. - 2020
We estimate variance decompositions of the real exchange rates for 19 individual currencies based on a present-value relation. We document substantial heterogeneity across forecasting horizons and currencies regarding the determinants of exchange rates. At short horizons, the dominant force is...
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Maximum likelihood estimation of continuous-time diffusion models for exchange rates
Choi, Seungmoon; Lee, Jaebum - In: East Asian economic review 24 (2020) 1, pp. 61-87
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Macroeconomic surprises, market environment and safe-haven currencies
Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - 2016
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The yen-dollar risk premium : a story of regime shifts in bond markets
Cho, Sungjun; Hyde, Stuart; Liu, Liu - In: Journal of international financial markets, … 78 (2022), pp. 1-22
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How did the oil price affect Japanese yen and other currencies? : fresh insights from the COVID-19 pandemic
Li, Kaifeng; Devpura, Neluka - In: Pacific-Basin finance journal 75 (2022), pp. 1-16
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Macroeconomic surprises, market environment, and safe-haven currencies
Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - In: Swiss Journal of Economics and Statistics 155 (2019) 5, pp. 1-21
We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...
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The beggar thy neighbor effects of weak Japanese yen : a GVAR approach
Choi, Doo-yull; Park, Seung-rok - In: Korea and the world economy 20 (2019) 1, pp. 1-41
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Macroeconomic surprises, market environment, and safe-haven currencies
Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - In: Swiss journal of economics and statistics 155 (2019) 5, pp. 1-21
We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...
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Anatomy of Sudden Yen Appreciations
Han, Fei - 2019
The yen is an important barometer for the Japanese economy. Depreciations are typically associated with favorable economic developments such as increased corporate profits, rising equity prices, and upward pressure on domestic consumer prices. On the other hand, large and sharp appreciations run...
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The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
Belke, Ansgar Hubertus - 2019
Since the demise of the Bretton Woods system, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with "expensive yen recessions"...
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Risk of Window Dressing : Quarter-End Spikes in the Japanese Yen Libor-OIS Spread
Kikuchi, Mayu - 2019
It is well documented in literature that funding condition has been subject to the undue influence of distorted incentives of banks to lend and borrow at quarter ends under Basel III. We investigate whether or not funding risk possibly also suffers the same. Using a state space model, we find...
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Anatomy of sudden yen appreciations
Han, Fei; Westelius, Niklas J. - 2019
The yen is an important barometer for the Japanese economy. Depreciations are typically associated with favorable economic developments such as increased corporate profits, rising equity prices, and upward pressure on domestic consumer prices. On the other hand, large and sharp appreciations run...
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The currency composition of international reserves, demand for international reserves, and global safe assets
Aizenman, Joshua; Cheung, Yin-Wong; Qian, Xingwang - 2019
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The yen exchange rate and the hollowing out of the Japanese industry
Belke, Ansgar; Volz, Ulrich - 2019
Since the demise of the Bretton Woods system, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with “expensive yen recessions”...
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Invoice currency choice in Malawi's imports from Asia : is there any evidence of renminbi internationalization?
Lapukeni, Angella Faith; Satō, Kiyotaka - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012134704
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The yen exchange rate and the hollowing out of the Japanese industry
Belke, Ansgar; Volz, Ulrich - 2019
Since the demise of the Bretton Woods system, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with "expensive yen recessions"...
Persistent link: https://ebtypo.dmz1.zbw/10012063963
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The yen exchange rate and the hollowing out of the Japanese industry
Belke, Ansgar; Volz, Ulrich - 2019
Since the demise of the Bretton Woods system, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with "expensive yen recessions"...
Persistent link: https://ebtypo.dmz1.zbw/10012099480
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What determines utility of international currencies?
Ogawa, Eiji; Muto, Makoto - In: Journal of risk and financial management : JRFM 12 (2019) 1/10, pp. 1-31
In previous studies, we estimated a time series of coefficients on five international currencies (the US dollar, the euro, the Japanese yen, the British pound, and the Swiss franc) in a utility function. We call the coefficients utilities of international currencies. The time series show that...
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The yen exchange rate and the hollowing out of the Japanese industry
Belke, Ansgar; Volz, Ulrich - 2019
Since the demise of the Bretton Woods system, the yen has seen several episodes of strong appreciation, including in the late 1970s, after the 1985 Plaza Agreement, the early and late 1990s and after 2008. These appreciations have not only been associated with "expensive yen recessions"...
Preview
Preview
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Exploring inter relation and casual movement of selected currencies against INR
Upadhyay, Hiteksha - In: Focus : journal of international business 6 (2019) 2, pp. 127-139
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The tail behavior of safe haven currencies : A cross-quantilogram analysis
Cho, Dooyeon; Han, Heejoon - In: Journal of international financial markets, … 70 (2021), pp. 1-17
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Influence of crypto currency on select global currencies : a study
Kotishwar, A. - In: Finance India : the quarterly journal of Indian … 35 (2021) 3, pp. 891-922
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Declining Japanese Yen in the Changing International Monetary System
Ogawa, Eiji - 2018
The US dollar has kept as a position of key currency in the global economy in the changing international monetary system where the euro was introduced to some states of the EU in 1999. It is an evidence of inertia of the US dollar as a key currency. Our previous study (Ogawa and Muto, 2017b)...
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What determines utility of international currencies?
Ogawa, Eiji; Muto, Makoto - 2018
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Breaking par : short-term determinants of yen-dollar swap deviations
Angrick, Stefan; Nemoto, Naoko - 2018
This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly-frequency data on money market-related and capital marketrelated financial variables, we analyse how the cross-currency basis is influenced by differences in returns and different types...
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The new Fama puzzle
Bussière, Matthieu; Chinn, Menzie David; Ferrara, Laurent - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011812918
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A yen for change : the strong yen and the Japanese automobile industry
Thorbecke, Willem - 2017
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Declining Japanese yen and inertia of the U.S. dollar
Ogawa, Eiji; Muto, Makoto - 2017
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Safe haven currency and market uncertainty : yen, renminbi, dollar, and alternatives
Masujima, Yuki - 2017
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The Swiss franc's honeymoon
Janssen, Alexandra; Studer, Rahel - 2017 - Revised version, January 2017
Starting from the stylized fact that the Swiss franc is a safe haven currency, this paper focuses on the determinants of the Swiss franc during the lower bound regime from September 2011 to January 2015. We describe the Swiss franc as a function of global market risk fundamentals and find that...
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16
This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...
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Declining Japanese yen in the changing international monetary system
Ogawa, Eiji; Muto, Makoto - In: East Asian economic review 21 (2017) 4, pp. 317-342
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Yen Internationalization and Japan's International Reserves
Zhang, Zhiwen - 2017
The relationship between major East Asian economies' international reserves and internationalization of their currencies presents a seeming paradox in international finance. While large international reserves may be expected to foster more widespread global use of a currency, strong growth of...
Persistent link: https://ebtypo.dmz1.zbw/10012970473
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States of psychological anchors and price behavior of Japanese yen futures
Lee, Hsiu-chuan; Lee, Yun-Huan; Lu, Yang-cheng; Wang, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14
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