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Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan

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  • Kim, Suk-Joong

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  • Kim, Suk-Joong, 2007. "Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 341-360, October.
  • Handle: RePEc:eee:intfin:v:17:y:2007:i:4:p:341-360
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    References listed on IDEAS

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    1. Takatoshi Ito, 2003. "Is foreign exchange intervention effective? The Japanese experiences in the 1990s," Chapters,in: Monetary History, Exchange Rates and Financial Markets, chapter 5 Edward Elgar Publishing.
    2. Payne, Richard & Vitale, Paolo, 2003. "A transaction level study of the effects of central bank intervention on exchange rates," Journal of International Economics, Elsevier, vol. 61(2), pages 331-352, December.
    3. Neely, Christopher J., 2002. "The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits," Journal of International Economics, Elsevier, vol. 58(1), pages 211-232, October.
    4. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
    5. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245 World Scientific Publishing Co. Pte. Ltd..
    6. Hali Edison & Paul Cashin & Hong Liang, 2006. "Foreign exchange intervention and the Australian dollar: has it mattered?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 155-171.
    7. K. Doroodian & Tony Caporale, 2001. "Central bank intervention and foreign exchange volatility," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 7(4), pages 385-392, November.
    8. Eric Hillebrand & Gunther Schnabl, 2003. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers 2003-09, Department of Economics, Louisiana State University.
    9. Kearns, Jonathan & Rigobon, Roberto, 2005. "Identifying the efficacy of central bank interventions: evidence from Australia and Japan," Journal of International Economics, Elsevier, vol. 66(1), pages 31-48, May.
    10. Christopher J. Neely, 2001. "The practice of central bank intervention: looking under the hood," Review, Federal Reserve Bank of St. Louis, issue May, pages 1-10.
    11. Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 853-878, December.
    12. Almekinders, Geert J. & Eijffinger, Sylvester C. W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1365-1380, September.
    13. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
    14. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2004. "The accuracy of press reports regarding the foreign exchange interventions of the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(1), pages 25-36, February.
    15. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    16. Harvey, Campbell R & Huang, Roger D, 1991. "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 543-569.
    17. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 685-718.
    18. Mark P. Taylor & Lucio Sarno, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, vol. 39(3), pages 839-868, September.
    19. Beine, Michel, 2004. "Conditional covariances and direct central bank interventions in the foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1385-1411, June.
    20. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 27-39.
    21. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
    22. Andreas Fischer, 2003. "Reuters News Reports versus Official Interventions: A Cautionary Warning," Working Papers 03.06, Swiss National Bank, Study Center Gerzensee.
    23. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
    24. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
    25. Kim, Suk-Joong & Sheen, Jeffrey, 2002. "The determinants of foreign exchange intervention by central banks: evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 619-649, October.
    26. repec:kap:iaecre:v:7:y:2001:i:4:p:385-392 is not listed on IDEAS
    27. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
    28. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September.
    29. Lewis, Karen K, 1995. "Are Foreign Exchange Intervention and Monetary Policy Related, and Does It Really Matter?," The Journal of Business, University of Chicago Press, vol. 68(2), pages 185-214, April.
    30. Jorge I Canales Kriljenko & Cem Karacadag & Roberto Pereira GuimarĂ£es, 2003. "Official Intervention in the Foreign Exchange Market; Elements of Best Practice," IMF Working Papers 03/152, International Monetary Fund.
    31. Chris Becker & Michael Sinclair, 2004. "Profitability of Reserve Bank Foreign Exchange Operations: Twenty Years After the Float," RBA Research Discussion Papers rdp2004-06, Reserve Bank of Australia.
    32. 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.
    33. Chang, Yuanchen & Taylor, Stephen J., 1998. "Intraday effects of foreign exchange intervention by the Bank of Japan1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 191-210, February.
    34. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
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    Cited by:

    1. Olga Loiseau-Aslanidi, 2011. "Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 75-95, July.
    2. Lukas Menkhoff, 2010. "High-Frequency Analysis Of Foreign Exchange Interventions: What Do We Learn?," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 85-112, February.
    3. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The influence of actual and unrequited interventions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 171-200.
    4. Andersen, Peter & Kim, Suk-Joong, 2011. "Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from microstructural analyses," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 277-295, April.
    5. Juraj Zeman & Biswajit Banerjee & Ludovit Odor & William O. Riiska Jr., 2017. "On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999-2007," Working and Discussion Papers WP 4/2017, Research Department, National Bank of Slovakia.
    6. Kim, Suk-Joong & Le, Anh Tu, 2010. "Secrecy of Bank of Japan's Yen intervention: Evidence of efficacy from intra-daily data," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 369-394, September.
    7. Olga Loiseau-Aslanidi, 2011. "Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 75-95, July.
    8. repec:bla:worlde:v:40:y:2017:i:9:p:1836-1865 is not listed on IDEAS

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