全球金融危机后宏观新闻对汇率的影响

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2017-02-01 DOI:10.24149/gwp305

Yin-Wong Cheung, Rasmus Fatum, Yohei Yamamoto

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引用次数: 26

摘要

本文通过分析和比较美国和日本宏观新闻在全球金融危机之前、期间和之后对日元/美元汇率的相对影响，探讨宏观新闻的汇率效应是否具有时间和状态依赖性。从1999年1月1日至2016年8月31日期间的5分钟日元/美元指示性报价中，我们综合了40个带有时间戳的美国和日本新闻变量和之前的调查预期，便于我们进行分析。我们的研究结果表明，虽然美国宏观新闻现在比危机前更重要，但日本宏观新闻的影响力已经减弱到几乎无关紧要的地步。这些发现对新时期的汇率建模具有特别重要的意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Exchange Rate Effects of Macro News after the Global Financial Crisis

This paper explores whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Crisis. A comprehensive set totaling 40 time-stamped US and Japanese news variables and preceding survey expectations along with 5-minute indicative JPY/USD quotes spanning the 1 January 1999 to 31 August 2016 period facilitate our analysis. Our results suggest that while US macro news are now more important than before the Crisis, the influence of Japanese macro news has waned to the point of near-irrelevance. These findings are of particular importance to exchange rate modeling of the New Era.

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来源期刊

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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