IDEAS home Printed from
   My bibliography  Save this article

Intervention of Japanese Monetary Authority in the Foreign Exchange Market


  • Obara, T.



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

    Download full text from publisher

    File URL:
    Download Restriction: No

    More about this item


    Intervention; Fokker-Planck equation; Langevin equation; exchange rate fluctuation;

    JEL classification:

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


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eaa:ijaeqs:v:2:y2005:i:4_5. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.