Search Results - subject_exact:"Yen"

Volatility spillover effects in foreign exchange markets among China, Japan, and South Korea

Yu, Bok-Keun; Kim, Kwon Sik - 2026

This paper analyzes the dynamic spillover effects of exchange rate volatility among the foreign exchange markets of China, Japan, and South Korea from January of 2010 to March of 2024 based on exchange rate determination theories, the GJR-GARCH model, and the TVP-VAR model. The key empirical...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654863

Fugitive or orphan? : the Shanghai yen in the early days of the Sino-Japanese war, 1938-1939

Takagi, Shinji - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610964

Risk premiums, market volatility, and exchange rate dynamics : evidence from the Yen carry trade

Guyot, Opale; Montgomery, Heather; Yang, Peiqing - 2026

Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638924

Measuring the spillovers of US unconventional surprises across monetary conditions with local projections

Chantaraboontha, Arisa - 2025

This paper examines the responses of foreign exchange rates to the Federal Reserve's large-scale asset purchases (LSAPs) and forward guidance (FWG) from 2009 to 2022 using local projections. I confirm heterogeneous responses of examined foreign exchange rates to unconventional shocks, varying by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329892

Financial stability and monetary policy autonomy in Japan : should Japan peg the Yen to the Dollar?

Schnabl, Gunther; Schürmann, Christof - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423175

Central bank's surprise policy and its potential to change people's deflationary mindset : evidence from the yen-dollar exchange market

Kamada, Koichiro - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432747

Building a Potemkin village in occupied China : Japan's wartime system of linked trade, 1939-43

Takagi, Shinji - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376955

Asymmetric exchange rate pass-through between unexpected yen appreciation and depreciation : the case for Japanese machinery exports

Liu, Nan; Satō, Kiyotaka - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014460718

Safe haven currencies : a dependence-switching copula approach

Michelis, Leo; Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052606

Changes in risk perceptions on yen interest rates and exchange rates observed in options markets : developments in implied probability distributions amid rate hikes in the United States and Europe from 2022 to 2023

Yoneyama, Akihito; Tsuchiya, Akitaka; Fukuma, Noritaka - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015187808

Time-variant safe haven currencies

Sato, Ayano; Nakata, Hayato; Percy, Jay - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014535558

Show one more version 1

Time-Variant Safe Haven Currencies

Sato, Ayano; Nakata, Hayato; Percy, Jay - 2023

Book / Working Paper

Foreign Exchange Interventions : The Long and the Short of it

Alexander, Patrick; Alpanda, Sami; Kabaca, Serdar - 2023

This paper examines the effects of foreign exchange (FX) interventions in a setting where agents exchange both short-term and long-term securities. In a two-region theoretical model, calibrated to match the US and its trade partners (foreign region), we show that FX interventions by the foreign...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014357103

The factors behind the depreciation of the yen : Why Japan needs a policy shift

Nishigaki, Hideki - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464278

Time-varying intra-safe haven currency behaviour : the U.S. dollar, the Swiss franc, and the Japanese yen

Park, Keehwan; Fang, Zhongzheng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405559

The Myth of U.S. Dollar Dominance in Japanese Exports : New Evidence from Japanese Customs Level Data

Yoshimoto, Uraku; Satō, Kiyotaka; Itō, Takatoshi; … - 2025

While Japanese exports are generally considered invoiced mainly in U.S. dollars (USD), this study presents contrary evidence that most Japanese firms choose yen-invoiced exports. Surprisingly, only the top one percent of firms in size tend to choose USD-invoiced exports, based on the Japan...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409779

Forward exchange market transitional policy modeling : the case of the Japanese yen

Hudgins, David; Crowley, Patrick M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550905

News and the dollar yen exchange rate : 1931 - 1933 ; the end of the gold standard, imperialism, and the Great Depression

Itō, Takatoshi - 1993

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10001145210

Show one more version 1

News and the Dollar/Yen Exchange Rate, 1931-1933 : the End of the Gold Standard, Imperialism, and the Great Depression

Itō, Takatoshi; Okina, Kunio; Teranishi, Jūrō - 2022

Book / Working Paper

On the driving forces of real exchange rates : is the Japanese Yen different?

Maio, Paulo; Zeng, Ming - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014477065

Show 2 more versions 2

On the Driving Forces of Real Exchange Rates : Is the Japanese Yen Different?

Maio, Paulo; Zeng, Ming - 2022

Book / Working Paper

On the Driving Forces of Real Exchange Rates : Is the Japanese Yen Different?

Maio, Paulo F. - 2020

Book / Working Paper

Impact of Currency Futures on Spot Rate Volatility in Indian Foreign Exchange Market

Patra, Dr. Govind - 2022

The work aimed going to ascertain the efficacy of the currency futures on cash-market or Spot exchange rates volatility with respect of USD/INR, EURO/INR, GBP/INR & JPY/INR. The daily closing of have been taken from RBI website. Also, the time series data is checked for stationarity using ADF...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014241869

Impact of Currency Futures on Spot Market Volatility in Indian Foreign Exchange Market

Patra, Dr. Govind - 2022

This work is an endeavor to explore the relationship of Lag between future & underlying market, ie. Spot in foreign exchange market of India. Only the USD/INR exchange rate is considered for the study for the presented work. This study is comprised of both analytical and empirical. The daily...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014242180

Computational intelligence in exchange-rate forecasting

Andreou, Andreas S. - 2006

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003404311

Show one more version 1

Computational intelligence in exchange-rate forecasting

Andreou, Andreas; Zombanakis, George - 2022

Book / Working Paper

Invoicing Currency and Exchange Rate Pass-Through in Japanese Imports : A Panel VAR Analysis

Yoshimi, Taiyo; Yoshimoto, Uraku; Itō, Takatoshi; … - 2024

This study utilizes the granular Japanese customs data from 2014 to 2020 to examine the exchange rate pass-through (ERPT) to Japanese import prices. It mainly focuses on the impact of the invoicing currency choice on ERPT. The ERPT elasticity in products invoiced in the exporter's currency is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015072852

No longer a safe haven currency? : a fresh evidence of Japanese Yen under uncertainty

Li, Zheng Zheng; Su, Chi-Wei; Tao, Ran - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014485293

Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?

Luo, Tao; Sun, Huaping; Zhang, Lixia; Bai, Jiancheng - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014446795

The yen and its East Asian neighbors, 1980 - 1995 : cooperation or competition?

Takagi, Shinji - 1999

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10001375203

Show 2 more versions 2

The Yen and its East Asian Neighbors, 1980-1995 : Cooperation or Competition?

Takagi, Shinji - 2021

Book / Working Paper

The Yen and Its East Asian Neighbors, 1980-1995 : Cooperation or Competition?

Takagi, Shinji - 1996

Book / Working Paper

How Did the Dollar Peg Fail in Asia?

Itō, 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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013226986

Intraday Yen/Dollar Exchange Rate Movements : News or Noise?

Itō, Takatoshi; Roley, Vernon 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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013227002

Exchange Rate Determination with Systematic and Unsystematic Policy Regime Changes : Evidence from the Yen/Dollar Rate

Makin, John H.; Sauer, Raymond D. - 2021

This paper presents results of estimating an exchange rate equation in light of theoretical considerations regarding changes in sterilization and intervention policy and tax policy which imply that the coefficients in the equation will not behave as fixed parameters in a given sample period,as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013229379

Show one more version 1

Exchange Rate Determination with Systematic and Unsystematic Policy Regime Changes : Evidence From the Yen/Dollar Rate

Makin, John H. - 1984

Book / Working Paper

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013317518

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013317566

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013317575

Filtering the Beer : A Permanent and Transitory Decomposition

Clark, Peter Bentley - 2000

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014403514

Show one more version 1

Filtering the Beer : A Permanent and Transitory Decomposition

Clark, Peter Bentley; MacDonald, Ronald - 2021

Book / Working Paper

Predictable movements in yen DM exchange rates

Kong, Qingying - 2000

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10001539703

Show one more version 1

Predictable Movements in Yen/Dm Exchange Rates

Kong, Qingying Janet - 2021

Book / Working Paper

Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options

Krylova, Elizaveta; Nikkinen, Jussi; Vähämaa, Sami - 2021

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013318310

Foreign Exchange Option and Returns Based Correlation Forecasts : Evaluation and Two Applications

Castrén, 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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013318724

Is Japan creating a yen bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 2007

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003517515

Show 6 more versions 6

Is Japan creating a Yen Bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 1992

Book / Working Paper

Is Japan Creating a Yen Bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 2021

Book / Working Paper

Is Japan creating a yen bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 1993

Book / Working Paper

Is Japan Creating a Yen Bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 1992

Book / Working Paper

Is Japan creating a Yen Bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 1992

Book / Working Paper

Is Japan creating a yen bloc in East Asia and the Pacific?

Frankel, Jeffrey A. - 1992

Book / Working Paper

News from the U. S. And Japan : Which Moves the Yen/Dollar Exchange Rate?

Itō, Takatoshi; Roley, Vernon Vance - 2021

Intra-daily movements in the yen/dollar exchange rate were examined in four non-overlapping segments within each business day from January1980 to September 1985. The empirical results yielded several conclusions. First, most depreciation of the yen (appreciation of the dollar) from late 1982 to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013218335

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013218532

Show one more version 1

Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate : Evidence from Survey Data

Frankel, Jeffrey A. - 1987

Book / Working Paper

Do options-implied RND functions on G3 currencies move around the times of interventions on the JPY/USD exchange rate?

Castrén, Olli - 2004

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013434756

Show one more version 1

Do Options-Implied Rnd Functions on G3 Currencies Move Around the Times of Interventions on the Jpy/Usd Exchange Rate?

Castrén, Olli - 2021

Book / Working Paper

Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?

Castrén, Olli - 2004

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013434709

Show one more version 1

Do Financial Market Variables Show (Symmetric) Indicator Properties Relative to Exchange Rate Returns?

Castrén, Olli - 2021

Book / Working Paper

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013319943

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 - 2002

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013434472

Show one more version 1

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

Book / Working Paper

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013225139

Show one more version 1

Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate

Ito, Takatoshi - 1993

Book / Working Paper

The dollar, the yen, or the RMB? : a survey data analysis of invoicing currencies among Japanese overseas subsidiaries

Itō, Takatoshi; Koibuchi, Satoshi; Satō, Kiyotaka; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014381939

External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices

Sultonov, Mirzosaid - 2021

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012797403

The Japanese yen interest rate swap market observed from OTC derivative transaction data : the impact of COVID-19

Inoue, Shiori; Miki, Shota; Gemma, Yasufumi - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015187538

Macroeconomic surprises, market environment, and safe-haven currencies

Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - 2019

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,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012041720

Show one more version 1