NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture

Yuko Hashimoto, Takatoshi Ito

NBER Working Paper No. 15020
Issued in May 2009

---- Acknowledgements -----

The authors are grateful to Robert Feldman, Morgan Stanley, for his suggestions and making available the data of macro news announcements and market expectations prior to announcements. The authors are grateful to EBS for their understanding the value of academic research and providing a proprietary data set for the academic purpose with few restrictions and a modest fee. We thank Alain Chaboud at the FRB for valuable discussions during the process of this paper and for comments and suggestions from conference and seminar participants at the AEA, APEA2009, the ECB, and the Research Department at the IMF. Research support by JSPS Grants-in-aid for Scientific Research, (A) No. 15203008, to University of Tokyo, is gratefully acknowledged. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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