NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Intraday Yen/Dollar Exchange Rate Movements: News or Noise?

Takatoshi Ito, V. Vance Roley

NBER Working Paper No. 2703 (Also Reprint No. r1549)
Issued in March 1991
NBER Program(s):   ITI   IFM

Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.

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Published: Journal of International Financial Markets, Institutions and Money, Vol. 1, No. 1, pp. 1-31, (1991).

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