2012 Fiscal Year Final Research Report

Study of the Yen￥Dollar exchange rate market with high-frequency data

Research Project

Project/Area Number	22530318
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Single-year Grants
Section	一般
Research Field	Public finance/Monetary economics
Research Institution	Chuo University
Principal Investigator	HARADA Kimie 中央大学, 商学部, 教授 (30338610)
Project Period (FY)	2010 – 2012
Keywords	高頻度 / 為替レート / 為替介入
Research Abstract	An Analysis of Recent Studies of Foreign Exchange Intervention and High Frequency Exchange Data,『CGSA フォーラム』Vol.9、p93-118 Effects by foreign exchange intervention were examined in previous literature with daily exchange rate data. High frequency data, such as 1 second slice, became available in financial markets in the 1990s. Analysis using high frequency exchange rate data is increasing since then. Foreign exchange intervention is also examined with high frequency data however there are some limitations for the use in analyzing intervention. This paper surveys previous literature which examines foreign interventions and exchange rate markets using high frequency data as well as daily data. Characteristics of high frequency exchange data are carefully introduced. An example is the mov