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List of Discussion Paper Series
- No.1998-01 (March 1998)
- The effect of economic announcements on foreign exchange rate with ultra-high-frequent-data
- Masayuki SUSAI (Associate Professor, Faculty of Economics, Nagasaki University)
- Abstract:
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In this research, we examine the effect of economic announcements on the market activity which is measured by the number of tick and the volatility of foreign exchange rate. The announcements of CPI, PPI, Trade Balance, Money Supply and GDP are used as economic announcements. Yen/Dollar spot exchange rate series, recorded by tick by tick for about one month in 1997 is examined.
Our research is divided into two parts. In first part, we use full sample data. We use time series model to test the effects of above announcements and find that some announcements have positive effect on the market activity. Secondly, we use day by day data and time series model to test the persistence of the change of market activity. Some announcements have long effects on both the number of tick and the volatility of foreign exchange rate. But to figure out the simultaneous jump of the market activity, we should use tick by tick data like ours.