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
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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Takatoshi Ito & Tomoyoshi Yabu, 2004.
"What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function,"
NBER Working Papers
10456, National Bureau of Economic Research, Inc.
- Ito, Takatoshi & Yabu, Tomoyoshi, 2007. "What prompts Japan to intervene in the Forex market? A new approach to a reaction function," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 193-212, March.
- Chih-nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2009.
"A New Method for Identifying the Effects of Foreign Exchange Interventions,"
IMES Discussion Paper Series
09-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
- Chih‐Nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2012. "A New Method for Identifying the Effects of Foreign Exchange Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1507-1533, December.
- Pierre Perron & Yohei Yamamoto, 2011. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series WP2011-053, Boston University - Department of Economics.
- Brett Fawley & Luciana Juvenal, 2010. "Japan reenters the foreign exchange market," Economic Synopses, Federal Reserve Bank of St. Louis.
- Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
- Kim, Suk-Joong & Sheen, Jeffrey, 2006. "Interventions in the Yen-dollar spot market: A story of price, volatility and volume," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3191-3214, November.
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