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Intervention of Japanese Monetary Authority in the Foreign Exchange Market

Author

Listed:
  • Obara, T.

Abstract

The Japanese monetary authority intervenes into the foreign exchange market on and off. The influence of the operations on the fluctuation of the yen exchange rate to U.S. dollar is examined in the period of September 17 through 28, 2001. A cyclic behavior is found in correlation functions of the series. It is shown that the cycle of the fluctuation is elongated after the intervention. A model that represents these properties of correlation functions is proposed. The Fokker-Planck equation of this model is solved. The expectation value derived from the solution is cyclical and the variance is constant. Those results are different from what the Ornstein-Uhlenbeck process has.

Suggested Citation

  • Obara, T., 2005. "Intervention of Japanese Monetary Authority in the Foreign Exchange Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 73-86.
    • Handle: RePEc:eaa:ijaeqs:v:2:y2005:i:4_5
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    File URL: http://www.usc.es/economet/reviews/ijaeqs245.pdf
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    References listed on IDEAS

    as
    1. Obara, T., 2004. "Structural Change in Time Series of the Exchange Rates between Yen-Dollar and Yen-Euro in 2001-2004," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(3), pages 61-74.
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      Keywords

      Intervention; Fokker-Planck equation; Langevin equation; exchange rate fluctuation;
      All these keywords.

      JEL classification:

      • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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