Transfiguration of the foreign exchange market since the Euro introduction

Liu Zhentao; Kazumi Asako

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Transfiguration of the foreign exchange market since the Euro introduction

机译：自欧元引入以来外汇市场的变相

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We confirm that there are changes in the features of the foreign exchange market since the Euro introduction through empirical experiments on five major exchange rate series in the world. We verify the existence of asymmetry in volatility process of Japanese Yen (JPY)/United States Dollar (USD), Australian Dollar (AUD)/USD and New Zealand Dollar (NZD)/USD while JPY appreciates and AUD and NZD depreciate. We also ascertain that volatility for those five major exchange rate series has become larger and the correlation between exchange rate series has become stronger since the Euro introduction.

机译：我们通过对世界上五个主要汇率系列的经验实验，确认了自欧元引入以来外汇市场特征的变化。我们验证日元（JPY）/美元（USD），澳大利亚元（AUD）/ USD和新西兰元（NZD）/ USD的波动过程中存在不对称性，而日元则升值，而AUD和NZD则贬值。我们还确定，自欧元推出以来，这五个主要汇率系列的波动性已经变大，汇率系列之间的相关性也变得更强。

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《Applied financial economics》 |2009年第24期|1803-1812|共10页
作者
Liu Zhentao; Kazumi Asako;
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Institute for Financial and Accounting Studies, Xiamen University, Xiamen 361005, China School of Management, Xiamen University, Xiamen 361005, China;

Institute of Economic Research, Hitotsubashi University, Kunitachi, Japan;

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Transfiguration of the foreign exchange market since the Euro introduction

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