Does Foreign Exchange Intervention Volume Matter?
AbstractWe investigate whether foreign exchange intervention volume matters for the exchange rate effects of intervention. Our investigation employs daily data on Japanese interventions from April 1991 to April 2012 and time-series estimations, non-temporal threshold analysis, as well as binary choice models. We find that intervention volume matters for the effects of intervention, but only to the extent that the exchange rate effect per intervention unit is magnified in a linear sense by the larger intervention amount. This is a policy-relevant finding that also adds to our understanding of how intervention works.
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Bibliographic InfoPaper provided by Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics in its series EPRU Working Paper Series with number 2012-03.
Length: 34 pages
Date of creation: May 2012
Date of revision:
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More information through EDIRC
Foreign Exchange Market Intervention; Intervention Volume;
Other versions of this item:
- Rasmus Fatum & Yohei Yamamoto, 2012. "Does foreign exchange intervention volume matter?," Globalization and Monetary Policy Institute Working Paper 115, Federal Reserve Bank of Dallas.
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-14 (All new papers)
- NEP-IFN-2012-07-14 (International Finance)
- NEP-MAC-2012-07-14 (Macroeconomics)
- NEP-MON-2012-07-14 (Monetary Economics)
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