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

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An Analysis of Recent Studies of Foreign Exchange Intervention and High Frequency Exchange Data,『CGSA フォーラム』Vol.9、p93-118Effects 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