• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Theoretical and Empirical Analysis of The Foreign Exchange Rate Fluctuations

Research Project

Project/Area Number 15203008
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic theory
Research InstitutionThe University of Tokyo

Principal Investigator

ITO Takatoshi  The University of Tokyo, Graduate School of Economics, Professor (30203144)

Project Period (FY) 2003 – 2006
Project Status Completed (Fiscal Year 2006)
Budget Amount *help
¥26,910,000 (Direct Cost: ¥20,700,000、Indirect Cost: ¥6,210,000)
Fiscal Year 2006: ¥7,540,000 (Direct Cost: ¥5,800,000、Indirect Cost: ¥1,740,000)
Fiscal Year 2005: ¥7,020,000 (Direct Cost: ¥5,400,000、Indirect Cost: ¥1,620,000)
Fiscal Year 2004: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
Fiscal Year 2003: ¥5,850,000 (Direct Cost: ¥4,500,000、Indirect Cost: ¥1,350,000)
KeywordsForeign Exchange Intervention / Exchange Rate / The yen-dollar exchange rate / Microstructure / Reaction Function / Contagion of crises / Currency Crises / 円ドル / 外国為替市場参入 / 外貨準備 / 介入 / パス・スルー / 伝播 / 電子ブローキング / ビッド・アスク・スプレッド / 円ドルレート / 円・ドルレート / 介入の反応関数 / 為替介入による利益
Research Abstract

First, the very short-run exchange rate fluctuations were investigated, theoretically and empirically, with market microstructure approach. The academic conventional wisdom is that the exchange rate is unpredictable and follows a random walk process. However, private financial institutions spent millions of dollars in an effort to predict the exchange rate. The obvious puzzle is solved as new information to the market has to be digested within several hours, during the period financial institutions with better interpretation of new information can predict the direction of the movements. The research shows that such activities are feasible, and also volatility persists for some time.
Second, the currency crisis contagion to another country without obvious macroeconomic weakness is analyzed for possible linkage of the countries. It was shown that trade linkage is important in the strength of contagion from one country to another.
Third, foreign exchange interventions were believed to be ineffective if interventions were sterilized. However, the research shows that interventions are effective under a certain set of conditions, even when they are sterilized. Moreover, it was shown that the monetary authorities tend to intervene when the rate is away from the long-run equilibrium and moving away from the longrun equilibrium quickly.

Report

(5 results)
  • 2006 Annual Research Report   Final Research Report Summary
  • 2005 Annual Research Report
  • 2004 Annual Research Report
  • 2003 Annual Research Report
  • Research Products

    (62 results)

All 2007 2006 2005 2004 2003 Other

All Journal Article (53 results) Book (6 results) Publications (3 results)

  • [Journal Article] Myths and reality of foreign exchange interventions : An application to Japan2007

    • Author(s)
      Takatoshi Ito
    • Journal Title

      International Journal of Finance&Economics 12

      Pages: 133-154

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Asian Currency Crisis and the IMF, Ten Years Later : Overview2007

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Asian Economic Policy Review 2

      Pages: 16-49

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] How Did the Dollar Peg Fail?2007

    • Author(s)
      Takatoshi lto, Eiii Ogawa, Yuri Nagataki Sasaki
    • Journal Title

      A Basket Currency for Asia

      Pages: 6-50

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Myths and reality of foreign exchange interventions: An application to Japan2007

    • Author(s)
      Takatoshi Ito
    • Journal Title

      International Journal of Finance & Economics 12

      Pages: 133-154

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Asian Economic Policy Review2007

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Asian Currency Crisis and the IMF, Ten Years Later: Overview 2

      Pages: 16-49

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] How Did the Dollar Peg Fail?2007

    • Author(s)
      Takatoshi Ito, Eiji Ogawa, Yuri Nagataki Sasaki
    • Journal Title

      A Basket Currency for Asia

      Pages: 6-50

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] How Did the Dollar Peg Fail?2007

    • Author(s)
      Ito, Takatoshi, Eiji Ogawa, Yuri Nagataki Sasaki
    • Journal Title

      A Basket Currency for Asia

      Pages: 6-50

    • Related Report
      2006 Annual Research Report
  • [Journal Article] A Case for a Coordinated Basket for Asian Countries2007

    • Author(s)
      Ito, Takatoshi
    • Journal Title

      A Basket Currency for Asia

      Pages: 124-141

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 通貨バスケット制とは何か2007

    • Author(s)
      伊藤隆敏、小川英治、清水順子
    • Journal Title

      東アジア・バスケット通貨の経済分析

      Pages: 1-33

    • Related Report
      2006 Annual Research Report
  • [Journal Article] What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function2007

    • Author(s)
      Ito, Takatoshi and Tomoyoshi Yabu
    • Journal Title

      Journal of International Money and Finance 26

      Pages: 193-212

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Myths and reality of foreign exchange interventions: An application to Japan2007

    • Author(s)
      Ito, Takatoshi
    • Journal Title

      International Journal of Finance & Economics 12

      Pages: 133-154

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Asian Currency Crisis and the IMF, Ten Years Later: Overview2007

    • Author(s)
      Ito, Takatoshi
    • Journal Title

      Asian Economic Policy Review 2

      Pages: 16-49

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 1997年アジア通貨危機-原因と深刻化の理由2007

    • Author(s)
      Ito, Takatoshi
    • Journal Title

      国際問題

      Pages: 4-13

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Intra-day Seasonality in Activities of the Foreign Exchange Markets : Evidence from the Electronic Broking System2006

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      Journal of the Japanese and International Economies 20

      Pages: 637-664

    • NAID

      210000178523

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Bank Fragility in Japan, 1995-20032006

    • Author(s)
      Takatoshi lto, Kimie Harada
    • Journal Title

      Michel Hutchison and Frank Westermann (eds. )“The Great Japanese stagnation : Financial and monetary Policy Lessons for Advanced Economies"

      Pages: 32-60

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Price Impacts of Deals and Predictability of the Exchange Rate Movement2006

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      International Financial Issues in the Pacific Rim : Global Imbalances, Financial Liberalization, and Exchange Rate Policy

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System2006

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      Journal of the Japanese and International Economies 20

      Pages: 637-664

    • NAID

      210000178523

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Bank Fragility in Japan, 1995-20032006

    • Author(s)
      Takatoshi Ito, Kimie Harada
    • Journal Title

      The Great Japanese Stagnation: Financial and monetary Policy Lessons for Advanced Economies(Michel Hutchison and Frank Westermann (eds.))

      Pages: 32-60

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Price Impacts of Deals and Predictability of the Exchange Rate Movement2006

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Bank Fragility in Japan, 1995-20032006

    • Author(s)
      Ito, Takatoshi and Kimie Harada
    • Journal Title

      The Great Japanese Stagnation: Financial and monetary Policy Lessons for Advanced Economies

      Pages: 32-60

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Price Impacts of Deals and Predictability of the Exchange Rate Movement2006

    • Author(s)
      Ito, Takatoshi and Yuko Hashimoto
    • Journal Title

      International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy

    • Related Report
      2006 Annual Research Report
  • [Journal Article] バスケット通貨における円ウェイト変化の要因分析2006

    • Author(s)
      伊藤隆敏、織井啓介
    • Journal Title

      フィナンシャル・レヴュー 81

      Pages: 177-200

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System2006

    • Author(s)
      Ito, Takatoshi and Yuko Hashimoto
    • Journal Title

      Journal of the Japanese and International Economies 20

      Pages: 637-664

    • NAID

      210000178523

    • Related Report
      2006 Annual Research Report
  • [Journal Article] アジア通貨・株価の伝播と運動性に関する分析2006

    • Author(s)
      伊藤隆敏, 橋本優子
    • Journal Title

      国際金融システムの制度設計(福田, 小川編)(東京大学出版会)

      Pages: 175-200

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Exchange Rate Changes and Inflation in Post-Crisis Asian Economies : VAR Analysis of the Exchange Rate Pass-Through2006

    • Author(s)
      Takatoshi ITO, Kiyotaka SATO
    • Journal Title

      University of Tokyo, CIRJE discussion paper CIRJE-F-406

      Pages: 45-45

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Intra-day Seasonality in Activities of the Foreign Exchange Markets : Evidence from the Electronic Brokina System2006

    • Author(s)
      Takatoshi ITO, Yuko Hashimoto
    • Journal Title

      University of Tokyo, CIRJE discussion paper CIRJE-F-407

      Pages: 43-43

    • Related Report
      2005 Annual Research Report
  • [Journal Article] the Exchange Rate in the Japanese Economy : The Past, Puzzles, and Prospects2005

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Japanese Economic Review 56, 1

      Pages: 1-38

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] High-Frequency Contagion of Currency Crises in Asia2005

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      Asian Economic Journal 19, 4

      Pages: 357-381

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Exchange Rate in the Japanese Economy: The Past, Puzzles, and Prospects2005

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Japanese Economic Review 56-1

      Pages: 1-38

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] High-Freguency Contagion of Currency Crises in Asia2005

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      Asian Economic Journal 19-4

      Pages: 357-381

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] High-Frequency Contagion of Currency Crises in Asia2005

    • Author(s)
      Takatoshi ITO, Yuko Hashimoto
    • Journal Title

      Asian Economic Journal V19, no4

      Pages: 357-381

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Interventions and Japanese Economic Recovery2005

    • Author(s)
      Takatoshi ITO
    • Journal Title

      International Economics and Economic Policy 2/2-3

      Pages: 219-239

    • Related Report
      2005 Annual Research Report
  • [Journal Article] High-Frequency Contagion between the Exchange Rates and the Stock Prices during the Asian Currency Crisis2005

    • Author(s)
      Yuko Hashimoto, Takatoshi ITO
    • Journal Title

      Mardi Dungey and D.N.Tambakis, Identifying International Financial Contagion, Oxford Press

      Pages: 111-149

    • Related Report
      2005 Annual Research Report
  • [Journal Article] The Exchange Rate in the Japanese Economy : The Past, Puzzles, and Prospects2005

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Japanese Economic Review 56, 1

      Pages: 1-38

    • Related Report
      2004 Annual Research Report
  • [Journal Article] アジア通貨・株価の伝播と連動性に関する分析2005

    • Author(s)
      伊藤隆敏, 橋本優子
    • Journal Title

      東京大学 CIRIE Discussion Paper J-124

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Interventions and Japanese Economic Recovery2004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Center on Japanese Economy and Business, working paper No. 229

      Pages: 36-36

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function2004

    • Author(s)
      Takatoshi Ito, Tomoyoshi Yabu
    • Journal Title

      National Bureau of Economic Research, working paper N0 10456

      Pages: 26-26

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Yen and the Japanese Economy, 20042004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Bergsten and Williamson (eds. )“Dollar Adjustment : How Far? Against What" IIE

      Pages: 171-196

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Role of the yen in East Asia2004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      S. Chirathivat, E. -M. Claasssen, and Jurgen Schroeder (eds. )“East Asia's Monetary Future : Integration in the Global Economy"

      Pages: 61-78

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] High-Freguency Contagion Between the Exchange Rates and stock Prices2004

    • Author(s)
      Yuko Hashimoto, Takatoshi lto
    • Journal Title

      National Bureau of Economic Research, working paper No. 10448

      Pages: 37-37

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Interventions and Japanese Economic Recovery2004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Center on Japanese Economy and Business, working Paper No. 229

      Pages: 36-36

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function2004

    • Author(s)
      Takatoshi Ito, Tomoyoshi Yabu
    • Journal Title

      National Bureau of Economic Research, working paper No. 10456

      Pages: 26-26

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Yen and the Japanese Economy, 20042004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Dollar Adjustment: How Far? Against What(Bergsten and Williamson (eds.)) IIE

      Pages: 171-196

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Role of the yen in East Asia2004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      East Asia' s Monetary Future: Integration in the Global Economy(S. Chirathivat, E.-M. Claasssen, and Jurgen Schroeder (eds.))

      Pages: 61-78

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] High-Frequency Contagion Between the Exchange Rate and Stock Prices2004

    • Author(s)
      Yuko Hashimoto, Takatoshi Ito
    • Journal Title

      National Bureau of Economic Research, working paper No. 10448

      Pages: 37-37

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intraday Activity Revealed in the Electronic Broking System2004

    • Author(s)
      Takatoshi Ito, Yuko Hashimoto
    • Journal Title

      National Bureau of Economic Research, working paper No.10856

    • Related Report
      2004 Annual Research Report
  • [Journal Article] High-Frequency Contagion Between the Exchange Rates and Stock Prices2004

    • Author(s)
      Yuko Hashimoto, Takatoshi Ito
    • Journal Title

      National Bureau of Economic Research, working paper No.10448

    • Related Report
      2004 Annual Research Report
  • [Journal Article] What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function2004

    • Author(s)
      Takatoshi Ito, Tomoyoshi Yabu
    • Journal Title

      National Bureau of Economic Research, working paper No.10456

    • Related Report
      2004 Annual Research Report
  • [Journal Article] The Yen and the Japanese Economy, 20042004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Dollar Adjustment : How Far? Against What(Bergsten and Williamson (eds.) ) IIE

      Pages: 171-196

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Interventions and Japanese Economic Recovery2004

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Center on Japanese Economy and Business, working paper No.229

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Is Foreign Exchange Intervention Effective? : the Japanese experiences in the 1990s2003

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Paul Mizen (ed. )“Monetary History, Exchange Rates and Financial Markets"

      Pages: 126-153

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Is Foreign Exchange Intervention Effective?: the Japanese experiences in the 1990s2003

    • Author(s)
      Takatoshi Ito
    • Journal Title

      Monetary History, Exchange Rates and Financial Markets(Paul Mizen (ed.))

      Pages: 126-153

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through

    • Author(s)
      Ito, Takatoshi and Kiyotaka Sato
    • Journal Title

      Journal of Money, Credit and Banking (掲載決定)

    • Related Report
      2006 Annual Research Report
  • [Book] A Basket Currency for Asia2007

    • Author(s)
      Ito, Takatoshi
    • Publisher
      Routledge, Pub., London, UK
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Book] 東アジア・バスケット通貨の経済分析2007

    • Author(s)
      伊藤隆敏、小川英治、清水順子
    • Total Pages
      192
    • Publisher
      東洋経済新報社
    • Related Report
      2006 Annual Research Report
  • [Book] Fiscal Policy and Management in East Asia2007

    • Author(s)
      Ito, Takatoshi and A. Rose
    • Total Pages
      458
    • Publisher
      University of Chicago Press
    • Related Report
      2006 Annual Research Report
  • [Book] Monetary Policy with Very Low Inflation in the Pacific Rim2006

    • Author(s)
      Ito, Takatoshi, A. Rose
    • Publisher
      Chicago University Press
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Book] Monetary Policy with Very Low Inflation in the Pacific Rim2006

    • Author(s)
      Ito, Takatoshi and A. Rose
    • Total Pages
      415
    • Publisher
      Chicago University Press
    • Related Report
      2006 Annual Research Report
  • [Book] インフレ目標と金融政策2006

    • Author(s)
      伊藤隆敏, 林伴子
    • Total Pages
      255
    • Publisher
      東洋経済新報社
    • Related Report
      2005 Annual Research Report
  • [Publications] Takatoshi Ito: "Is foreign exchange intervention effective? The Japanese Experiences in the 1990s"Paul Mizen (ed.) Monetary History, Exchange Rates and Financial Market,出版社、Edward Elgar. (本に章として所収). 126-159 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] Takatoshi Ito, Tomoyoshi Yabu: "What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function"研究発表会、ニューヨーク連邦準備銀行にて2004年2月11日. (2004)

    • Related Report
      2003 Annual Research Report
  • [Publications] Takatoshi Ito, Yuko Hashimoto: "High-Frequency Contagion between the Exchange Rates and Stock Prices during the Asian Currency Crisis"研究発表会、統計研究会、高知コンファレンス、2004年3月14日. (2004)

    • Related Report
      2003 Annual Research Report

URL: 

Published: 2003-04-01   Modified: 2016-04-21  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi