We use realized volatility to study the influence of Japanese central bank interventions on the yen-to-dollar exchange rate. A system of equations for returns, logarithmic realized volatility, and interventions provides a comprehensive view on the problem without endogeneity bias, unlike earlier latent variable specifications. We find that during the period 1991 through 1995, interventions of the Japanese monetary authorities could not move the yen-to-dollar rate into the desired direction. We measure an increase in volatility associated with interventions. During the period 1995 through 1998, the estimations are consistent with interventions that successfully influenced returns. After 1998 up to the last intervention episode in 2004, interventions did not have a significant impact on returns but reduced realized exchange rate volatility.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 19 (2009) Issue (Month): 3 (July) Pages: 490-505 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF