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

利用高频数据研究日元兑美元汇率市场

• 批准号: 22530318
• 负责人: HARADA Kimie
• 金额: $ 1.83万
• 依托单位: Chuo University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2010
• 资助国家: 日本
• 起止时间: 2010 至 2012
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-22530318/
• 关键词: 高頻度; 為替レート; 為替介入; 金融; 為替; 金融論; 経済政策; 高頻度データ; サーベイ

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

外汇干预与高频汇率数据的近期研究分析，《中国外汇管理学会学报》第9卷，第93 - 118页，以往文献使用每日汇率数据检验了外汇干预的效果。20世纪90年代，金融市场出现了1秒切片等高频数据，使用高频汇率数据进行分析的趋势日益明显。外汇干预也是用高频数据来检验的，但在分析干预时存在一定的局限性。本文回顾了以往用高频数据和日数据来检验外汇干预和汇率市场的文献。详细介绍了高频交换数据的特点。一个例子是移动

项目成果

研究者URL

研究员网址

高頻度為替データと為替介入のサーベイ

高频交换数据及交换干预调查

• 期刊: CGSA フォーラム

論文報告

纸质报告

• 发表时间: 2011