The Role of Public Information in Japan: Effects of Scheduled Macroeconomic Announcements on the Foreign Exchange, Debt, and Stock Markets

We investigate the impact of the announcements of 16 key macroeconomic variables on the Japanese foreign exchange, debt and stock markets. Despite the importance of the Japanese economy in the world stage, there hasn't been a thorough study of role of scheduled information releases in Japan. We find significant first and second moment influences on returns, and this indicates that these announcement news (or surprises) are a source of tradable information, beyond the mere act of releasing economic figures. The announcements in general raise volatility by generating additional uncertainty in the market, with the debt market exhibiting a much greater response to news than the stock market. Exchange rates and interest rate respond more to inflation-related variables, while the stock market responds more to growth-related variables. Overall, markets participants are found to react to different news announcements in a variety of sophisticated and rational ways