Theoretical and empirical approaches to highly informational symmetric foreign exchange markets

• Project/Area Number: 21730251
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Public finance/Monetary economics
• Research Institution: Waseda University (2011); University of Toyama (2009-2010)
• Principal Investigator: KITAMURA Yoshihiro 早稲田大学, 社会科学総合学術院, 准教授 (90409566)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); Fiscal Year 2009: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
• Keywords: 高頻度データ / 外国為替市場 / 市場期待 / マイクロストラクチャー / 市場参加者の異質性 / ファイナンス / 高頻度データー

Research Abstract

Using high frequency data set, I found that order flows, which are considered to convey market expectation to a foreign exchange rate, do not show a highly positive correlation with exchange rate movement. This possibly indicates that order flows consist of the two factors ; informational and noise ones. For this issue, I built the model which decomposes order flows into those two factors. I hope that this decomposition will enable a monetary authority to understand marker expectation correctly and intervene into foreign exchange market at adequate timing.

Research Products

• [Journal Article] Informational linkages among the major currencies in the EBS market : evidence from the spot rates of the Euro (2012)
  • Author(s): Kitamura, Y.
  • Journal Title: Yen and Swiss franc Japan and the World Economy Volume: 24(1) Pages: 17-26
  • Peer Reviewed
• [Journal Article] Informational linkages among the major currencies in the EBS market : evidence from the spot rates of the Euro, Yen and Swiss franc (2012)
  • Author(s): Kitamura, Y.
  • Journal Title: Japan and the World Economy Volume: 24/1 Pages: 17-26
  • Peer Reviewed
• [Journal Article] The impact of order flow on the foreign exchange market : A copula approach (2011)
  • Author(s): Kitamura, Y.
  • Journal Title: Asia-Pacific Financial Markets(Springer) Volume: 18(1) Pages: 1-31
  • Peer Reviewed
• [Journal Article] The impact of order flow on the foreign exchange market : A copula approach (2011)
  • Author(s): Kitamura, Y.
  • Journal Title: Asia-Pacific Pinancial Markets Volume: 18/1 Issue: 1 Pages: 1-31
  • DOI: 10.1007/s10690-010-9118-0
  • Peer Reviewed
• [Journal Article] The Impact of Order Flow on the Foreign Exchange Market : A Copula Approach (2011)
  • Author(s): Kitamura Yoshihiro
  • Journal Title: Asia-Pacific Financial Markets Volume: 18(1) Pages: 1-31
  • Peer Reviewed
• [Journal Article] Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets (2010)
  • Author(s): Kitamura, Y.
  • Journal Title: Research in International Business and Finance Volume: 24(2) Pages: 158-171
  • Peer Reviewed
• [Journal Article] Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets (2010)
  • Author(s): Kitamura Yoshihiro
  • Journal Title: Research in International Business and Finance 24(2) Pages: 158-171
  • Peer Reviewed
• [Presentation] A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange marke (2011)
  • Author(s): 松田慎一, 秋葉弘哉, 佐藤綾野, 北村能寛
  • Organizer: 日本経済学会
  • Place of Presentation: 熊本学園大学(熊本県)
  • Year and Date: 2011-05-21
• [Presentation] Market expectation and dispersion in foreign exchange markets : A new approach (2009)
  • Author(s): Kitamura Yoshihiro
  • Organizer: Australasian Finance & Banking Conference
  • Place of Presentation: Shangri-La Hotel Sydney Australia
  • Year and Date: 2009-12-18
• [Presentation] Market expectation and dispersion in foreign exchange markets : A new approach (2009)
  • Author(s): Kitamura, Y.
  • Organizer: Australasian Finance & Banking Conference
  • Place of Presentation: Australia(Sydney)