Exchange Rate Dynamics: Evidence from Intra-Daily Data and  Survey Data
{'Code': '04050100', 'Directorate': {'Abbreviation': 'SBE', 'LongName': 'Direct For Social, Behav & Economic Scie'}, 'Division': {'Abbreviation': 'SES', 'LongName': 'Divn Of Social and Economic Sciences'}}
{'SignBlockName': 'jerry blackmon', 'PO_EMAI': None, 'PO_PHON': None}
This study investigates two aspects of exchange rate dynamics.                  First, the intra-daily exchange rate changes will be analyzed,                  and second, various hypotheses on exchange rate expectations                    formation among investors will be tested using survey data.  This               type of fundamental evidence is necessary to develop better                     theories to explain international macroeconomics.                                                                                                               The focus on intra-daily exchange rate changes will make it                     possible to determine which country had the most impact on                      exchange rate changes.  The exchange rate market is unique in                   that the same commodity (currency) is being traded almost 24                    hours a day due to the time differences among the major financial               centers of the world, i.e., Tokyo, London and New York.  By                     making the observational frequency finer, and thanks to these                   time differences, it will be possible to narrow down the factors                that most affected changes in the exchange rate. The intra-daily                analysis will be applied to the exchange rates among yen,                       dollars, pounds, and DM in the 1980's; and among yen, dollars,                  and pound rates in 1931-33.  The ARCH model of volatility of                    intra-daily exchange rate changes in the 1980's will be modeled                 and estimated.                                                                                                                                                  It is well known that an investor's expectations are very                       important in determining the actual path of the exchange rate.                  If enough investors expect the dollar to fall and sell the                      dollar, then the dollar actually falls.  Therefore, to understand               exchange rate dynamics, it is essential to investigate how the                  investor's expectation is formed.  Hypotheses on expectation                    formation will be tested with a new survey data set collected by                the Japan Center for International Finance (JCIF).  There are two               advantages of the JCIF survey in Tokyo over the often-used MMS or               Economist survey.  First, respondents to the survey include not                 only dealers in financial institutions but also in the export and               import industries.  Heterogeneous investors may have different                  expectation formations.  Second, the JCIF will provide individual               responses, so that the rationality and efficient market                         hypothesis will be tested on an individual basis, not on the                    survey mean or median.  It is widely believed that in the short-                run, expectation formation is of the bandwagon type, while in the               long-run it is of a regressive type.  The study will test                       econometrically whether the short- and long-run expectations are                mutually consistent.
{'FirstName': 'Takatoshi', 'LastName': 'Ito', 'PI_MID_INIT': None, 'PI_SUFX_NAME': None, 'PI_FULL_NAME': 'Takatoshi Ito', 'EmailAddress': None, 'NSF_ID': '000092756', 'StartDate': '08/15/1988', 'EndDate': None, 'RoleCode': 'Principal Investigator'}
{'Name': 'National Bureau of Economic Research Inc', 'CityName': 'CAMBRIDGE', 'ZipCode': '021385359', 'PhoneNumber': '6178683900', 'StreetAddress': '1050 MASSACHUSETTS AVE', 'StreetAddress2': None, 'CountryName': 'United States', 'StateName': 'Massachusetts', 'StateCode': 'MA', 'CONGRESSDISTRICT': '05', 'CONGRESS_DISTRICT_ORG': 'MA05', 'ORG_UEI_NUM': 'GT28BRBA2Q49', 'ORG_LGL_BUS_NAME': 'NATIONAL BUREAU OF ECONOMIC RESEARCH INC', 'ORG_PRNT_UEI_NUM': None}
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{'Code': '1320', 'Text': 'Economics'}
{'url': 'https://www.nsf.gov/awardsearch/download?DownloadFileName=1988&All=true', 'xml': '8808828.xml'}