神戸大学金融研究会
Monetary Economics Seminar of Kobe University
| 日時： （Date&Time) |
8月1日（土）午後2時から (Saturday, August 1, 2:00pm〜) |
| 報告者： （Speaker） |
橋本 優子 氏 (HASHIMOTO Yuko) |
| 所属： （Affiliation） |
東洋大学 (Toyo University) |
| 論題： （Topic） |
"Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture" |
| 概要： (Abstract) |
Using high-frequency transaction data of the EBS, we examine market impact of Japanese macroeconomic statistics news within minutes of their announcements on the dollar/yen exchange rate. Macroeconomic statistics releases that consistently have significant effect on exchange rate returns include Tankan survey (a short-term business survey conducted by Bank of Japan), GDP, industrial production, price indices and Balance of Payment. Given the impact of some news items on returns, the announcement itself, in addition to the magnitude of the surprise, is found to increase the deals and price volatility immediately after the announcement. Most effects, when significant, take place within 30 minutes of statistics announcements. |
| 報告者： （Speaker） |
Hyun Song SHIN 氏 |
| 所属： （Affiliation） |
プリンストン大学 (Princeton University) |
| 論題： （Topic） |
"Risk-Taking Channel of Monetary Policy" |
| 会場： (Place) |
神戸大学経済学部 中会議室 (第3学舎西側1階)
The Department of Economics Medium Meeting Room (West Side of the Third Building 1st floor) |
| 対象： （Intended Audience) |
基本的に会員制の研究会ですが、非会員で関心のある方の参加も歓迎します。 The seminar is primarily for the workshop members. But non-members are also welcome to attend. |
| 備考： (Note) |
論文のコピーは開催日当日に会場にご用意いたします。 |