News and the Dollar/yen Exchange Rate, 1931-1933: The End of the Gold Standard, Imperialism, and the Great Depression, Issue 2683
National Bureau of Economic Research, 1988 - Depressions - 22 pages
According to the efficient market hypothesis, news in Tokyo is responsible for the exchange rate changes during the Tokyo market hours, while the U.S. news is responsible for changes in the New York hours. The intra-daily dynamics of the $/yen exchange rate from December 1931 to November 1933 is analyzed. Japan's decision to go off gold in December 1931 depreciated yen by 30% in a month, mostly in the Tokyo market. During 1932, the yen depreciated another 30%, mainly due to Japan's aggression in China and resulting diplomatic isolation. In 1933, the yen appreciated against the dollar, mainly in the New York market, due to the U.S. decision to go off gold. However, exchange rate volatility and its sensitivity to news declined over the two year period, because of increasing capital controls. Changes in the interest rate differential was found insignificant for the changes in the exchange rate. Political regime changes, such as a decision to go off gold, most influenced the exchange rate for the period considered. There were no policy decisions by Japan to cause yen depreciation to promote export and limit import in 1931-33.
What people are saying - Write a review
We haven't found any reviews in the usual places.
1931 to November appreciation Bank of Japan bid-ask spread Bureau of Economic cabinet call rate capital controls caused change per day Chugai Shogyo Shinpo day average change day std December 13 decision to go deviation number dollar against yen dollar depreciation dollar/yen exchange rate Economic Research effective efficient market hypothesis exchange market exchange rate changes exchange rate movement February February 29 Finance Minister Takahashi financial market fiscal Foreign Exchange go off gold gold embargo gold export gold standard Hitotsubashi University increased INTDIF(t interest rate differential Jeffrey Sachs Juro Teranishi Kunio Okina League of Nations Manchuria March market hours missing observations monetary moratorium NBER Number Author Title number of observation observation accumulated change Preventing Capital Flight Q-III rational expectations restore the gold Shianghai speculations suspended Table Takatoshi Ito TKDY(T Tokyo market TOKYO NYORK NY0RK24 Trade U.S. dollars uncovered interest parity United value of yen yen depreciation yen/dollar York close York market