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Exchange Rate Interventions and Investors' Expectation

Research Project

Project/Area Number 18730211
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Public finance/Monetary economics
Research InstitutionKobe University (2007-2008)
Hitotsubashi University (2006)

Principal Investigator

IWATSUBO Kentaro  Kobe University, 大学院経済学研究科, 准教授 (90372466)

Project Period (FY) 2006 – 2008
Project Status Completed (Fiscal Year 2008)
Budget Amount *help
¥3,700,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥300,000)
Fiscal Year 2008: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2007: ¥1,000,000 (Direct Cost: ¥1,000,000)
Fiscal Year 2006: ¥1,400,000 (Direct Cost: ¥1,400,000)
Keywords為替介入 / 為替予想 / シグナル効果 / マイクロストラクチャー / アナウンスメント効果 / 予想の散らばり
Research Abstract

為替介入のメカニズムとして通貨当局のシグナル効果が指摘されてきたが、必ずしも実証的に支持されるものではなかった。
本研究では、投資家間の期待の散らばり度合いによって、シグナル効果が影響を受けることを理論的に示し、データを用いて実証的に検証した。

Report

(4 results)
  • 2008 Annual Research Report   Final Research Report ( PDF )
  • 2007 Annual Research Report
  • 2006 Annual Research Report
  • Research Products

    (42 results)

All 2009 2008 2007 2006

All Journal Article (8 results) (of which Peer Reviewed: 6 results) Presentation (32 results) Book (2 results)

  • [Journal Article] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate2009

    • Author(s)
      Iwatsubo, K., Kitamura, Y
    • Journal Title

      Applied Financial Economics

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] External Adjustments and Coordinated Exchange Rate Policy in Asia2009

    • Author(s)
      Ogawa, E., Iwatsubo, K
    • Journal Title

      Journal of Asian Economics 20

      Pages: 225-239

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] External Adjustments and Coordinated Exchange Rate Policy in Asia2009

    • Author(s)
      Ogawa, Eiji Iwatsubo, Kentaro
    • Journal Title

      Journal of Asian Economics (近刊)(印刷中)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Intraday Evidence of the Informational Efficiency of the Yen/ Dollar Exchange Rate2009

    • Author(s)
      Iwatsubo, rentaro Kitamura, Yoshihiro
    • Journal Title

      Applied Financial Economics (近刊)(印刷中)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms2007

    • Author(s)
      Iwatsubo, K., Inagaki, K
    • Journal Title

      18

      Pages: 217-236

    • NAID

      120006933783

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] "Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms"2007

    • Author(s)
      Iwatsubo, k., Inagaki, K.
    • Journal Title

      Journal of Asian Economics 18

      Pages: 217-236

    • NAID

      120006933783

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms2007

    • Author(s)
      岩壷健太郎
    • Journal Title

      Journal of Asian Economics (近刊)

    • NAID

      120006933783

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 外国人投資家の株式所有と企業価値の因果関係-分散不均一性による同時方程式の識別2007

    • Author(s)
      岩壷健太郎
    • Journal Title

      経済研究 58・1

      Pages: 47-60

    • Related Report
      2006 Annual Research Report
  • [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia2009

    • Author(s)
      岩壷健太郎
    • Organizer
      ACES2009
    • Place of Presentation
      ASSA Meeting in San Francisco, USA
    • Year and Date
      2009-01-03
    • Related Report
      2008 Final Research Report
  • [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia2009

    • Author(s)
      岩壷健太郎
    • Organizer
      EU Conference in Seoul National Univ
    • Place of Presentation
      Seoul, Korea
    • Related Report
      2008 Final Research Report
  • [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia2008

    • Author(s)
      岩壷健太郎
    • Organizer
      Asia EAEA Conference
    • Place of Presentation
      Manila, The Philippines
    • Year and Date
      2008-11-15
    • Related Report
      2008 Final Research Report
  • [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data2008

    • Author(s)
      岩壷健太郎
    • Organizer
      大阪大学
    • Place of Presentation
      金融・保険教育研究センター
    • Year and Date
      2008-10-17
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2008

    • Author(s)
      岩壷健太郎
    • Organizer
      Canadian Economic Association
    • Place of Presentation
      Vancouver, Canada
    • Year and Date
      2008-05-22
    • Related Report
      2008 Final Research Report
  • [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia2008

    • Author(s)
      岩壷健太郎
    • Organizer
      APEA Conference
    • Place of Presentation
      Beijing, China
    • Related Report
      2008 Final Research Report
  • [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data2008

    • Author(s)
      岩壷健太郎
    • Organizer
      APEA Conference
    • Place of Presentation
      中国、北京
    • Related Report
      2008 Final Research Report
  • [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data2008

    • Author(s)
      岩壷健太郎
    • Organizer
      日本金融学会
    • Place of Presentation
      秋季大会(広島大学)
    • Related Report
      2008 Final Research Report
  • [Presentation] External Adjustments under Increasing Integration: Japanese Perspective2008

    • Author(s)
      岩壷健太郎
    • Organizer
      PEO/Structure Specialist Meeting
    • Place of Presentation
      Osaka, Japan
    • Related Report
      2008 Final Research Report
  • [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data2008

    • Author(s)
      岩壷健太郎
    • Organizer
      日本経済学会
    • Place of Presentation
      秋季大会(近畿大学)
    • Related Report
      2008 Final Research Report
  • [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia2008

    • Author(s)
      岩壷健太郎
    • Organizer
      ACAES Conference
    • Place of Presentation
      Remini, Italy
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2008

    • Author(s)
      岩壷健太郎
    • Organizer
      European Economic Association Meeting
    • Place of Presentation
      Milan
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2008

    • Author(s)
      岩壷健太郎
    • Organizer
      Australasian Econometric Society in Wellington
    • Place of Presentation
      NZ
    • Related Report
      2008 Final Research Report
  • [Presentation] Informational Efficiency, Expectation Heterogeneity and Signaling Effects of Foreien Exchanee Interventions2008

    • Author(s)
      Iwatsubo, Kentaro
    • Organizer
      Canadian Economic Association
    • Place of Presentation
      Vancouver, Canada
    • Related Report
      2008 Annual Research Report
  • [Presentation] Informational Efficiency, Expectation Heterogeneity and Signaling Effects of Foreien Exchanee Interventions2008

    • Author(s)
      Iwatsubo, Kentaro
    • Organizer
      Australasian Econometric Society
    • Place of Presentation
      Wellington, NZ
    • Related Report
      2008 Annual Research Report
  • [Presentation] Informational Efficiency, Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2008

    • Author(s)
      Iwatsubo, Kentaro
    • Organizer
      European Economic Association Meeting
    • Place of Presentation
      Milan, Italy
    • Related Report
      2008 Annual Research Report
  • [Presentation] Liquidity, Volume and Informational Efficiency : Evidence from High-freouencv FX Data2008

    • Author(s)
      Iwatsubo, Kentaro
    • Organizer
      APEA Conference
    • Place of Presentation
      中国、北京
    • Related Report
      2008 Annual Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2007

    • Author(s)
      岩壷健太郎
    • Organizer
      University of Hawai
    • Place of Presentation
      College of Business
    • Year and Date
      2007-08-21
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2007

    • Author(s)
      岩壷健太郎
    • Organizer
      日本経済学会
    • Place of Presentation
      大阪学院大学
    • Year and Date
      2007-06-02
    • Related Report
      2007 Annual Research Report
  • [Presentation] 通貨統合の費用と便益-為替平価変更の効果-2007

    • Author(s)
      岩壷健太郎
    • Organizer
      統計研究会
    • Place of Presentation
      金融班
    • Year and Date
      2007-03-30
    • Related Report
      2008 Final Research Report
  • [Presentation] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate2007

    • Author(s)
      岩壷健太郎
    • Organizer
      統計研究会 金融班
    • Place of Presentation
      バルセロナ・コンファレンス
    • Related Report
      2008 Final Research Report
  • [Presentation] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate2007

    • Author(s)
      岩壷健太郎
    • Organizer
      統計研究会 金融班
    • Place of Presentation
      バルセロナ・コンファレン
    • Related Report
      2008 Final Research Report
  • [Presentation] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms2007

    • Author(s)
      岩壷健太郎
    • Organizer
      APEA Conference
    • Place of Presentation
      Hong Kong
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2007

    • Author(s)
      岩壷健太郎
    • Organizer
      Econometric Society Far Eastern Meeting
    • Place of Presentation
      Taipei, Taiwan
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2006

    • Author(s)
      岩壷健太郎
    • Organizer
      上智大学 経済学部セミナー
    • Year and Date
      2006-10-25
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2006

    • Author(s)
      岩壷健太郎
    • Organizer
      神戸大学 六甲フォーラム
    • Place of Presentation
      神戸大学 六甲フォーラム
    • Year and Date
      2006-09-14
    • Related Report
      2008 Final Research Report
  • [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions2006

    • Author(s)
      岩壷健太郎
    • Organizer
      横浜国立大学 近代経済学セミナー
    • Year and Date
      2006-07-30
    • Related Report
      2008 Final Research Report
  • [Presentation] 外国人投資家の株式所有と企業価値の因果関係-分散不均一性による同時方程式の識別2006

    • Author(s)
      岩壷健太郎
    • Organizer
      一橋大学 経済研究所 定例研究会
    • Year and Date
      2006-06-17
    • Related Report
      2008 Final Research Report
  • [Presentation] 短期コントラリアン戦略と業種リード・ラグ効果2006

    • Author(s)
      岩壷健太郎
    • Organizer
      野村證券 金融経済研究所 研究会
    • Year and Date
      2006-06-15
    • Related Report
      2008 Final Research Report
  • [Presentation] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms2006

    • Author(s)
      岩壷健太郎
    • Organizer
      The Journal of Asian Economics
    • Place of Presentation
      コンファレンス
    • Related Report
      2008 Final Research Report
  • [Presentation] 外国人投資家の株式所有と企業価値の因果関係-分散不均一性による同時方程式の識別2006

    • Author(s)
      岩壷健太郎
    • Organizer
      学習院大学 経済経営研究所(GEM)セミナー,
    • Related Report
      2008 Final Research Report
  • [Presentation] 短期コントラリアン戦略と業種リード・ラグ効果2006

    • Author(s)
      岩壷健太郎
    • Organizer
      日本ファイナンス学会 第14回大会
    • Place of Presentation
      東京大学
    • Related Report
      2008 Final Research Report
  • [Book] 『EUスタディーズ2 経済統合』2007

    • Author(s)
      小川英治, その他
    • Total Pages
      274
    • Publisher
      勁草書房
    • Related Report
      2007 Annual Research Report
  • [Book] 『社会科学を再構築する-地域平和と内発的発展』第2章「米国の対外不均衡と為替レートの調整機能」(岩壷 健太郎)2007

    • Author(s)
      西川潤
    • Total Pages
      516
    • Publisher
      明石書店
    • Related Report
      2006 Annual Research Report

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Published: 2006-04-01   Modified: 2016-04-21  

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