The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility
AbstractPrevious studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were released only recently by the BoJ and find that the interventions of the BoJ increased the volatility of the yen/U.S. dollar exchange rate. We find that that the interventions of the BoJ, in particular those interventions not reported in the financial press, were positively correlated with exchange rate volatility.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 14 (2005)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620165
Other versions of this item:
- Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2003. "The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility," Kiel Working Papers 1165, Kiel Institute for the World Economy.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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Departmental Working Papers
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- Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
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