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The Yen-Dollar Rate

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Author Info

  • Ramana Ramaswamy
  • Hossein Samiei

Abstract

Using daily data for 1995–99, this paper estimates a simple forward looking model of the exchange rate to show that foreign exchange interventions have, on the whole, had small but persistent effects on the yen-dollar rate. Contrary to conventional wisdom, sterilized interventions have mattered. Consistent with conventional wisdom, coordinated interventions have a higher probability of success and move the yen-dollar rate by a larger margin than unilateral interventions. A probit model indicates that both an excessive appreciation and depreciation of the yen provoke interventions, and that interventions occur in clusters—if there is one today, there will likely be another tomorrow.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/95.

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Length: 25
Date of creation: 01 Jun 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/95

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Related research

Keywords: Exchange rates; Intervention; Economic models; foreign exchange; exchange rate; foreign exchange interventions; foreign exchange markets; foreign exchange market; exchange markets; nominal effective exchange rate; industrial countries; effective exchange rate; foreign trade; exchange rate policy; foreign exchange intervention; exchange rate data; exchange rate interventions; exchange rate volatility; exchange rate movements; exchange rate determination; exchange operations; exchange rate changes; foreign exchange operations; exchange rate developments; exchange rate expectations; high-frequency exchange rate; exchange rate fluctuations;

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