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Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities' reaction functions

  • Frenkel, Michael
  • Pierdzioch, Christian
  • Stadtmann, Georg

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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 45 (2005)
Issue (Month): 4-5 (September)
Pages: 680-698

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Handle: RePEc:eee:quaeco:v:45:y:2005:i:4-5:p:680-698
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM e583abfb-39f0-4c9d-8848-5, Tilburg University, School of Economics and Management.
  2. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
  3. 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.
  4. Anna J. Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention," NBER Working Papers 7751, National Bureau of Economic Research, Inc.
  5. 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.
  6. Eijffinger, S.C.W., 1991. "On the short-term objectives of daily intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar-Deutsche Mark exchange market," Other publications TiSEM 36c5b281-3fb4-460f-afcd-f, Tilburg University, School of Economics and Management.
  7. repec:ner:tilbur:urn:nbn:nl:ui:12-73527 is not listed on IDEAS
  8. De Vries, C.G. & Leuven, K.U., 1994. "Stylized Facts of Nominal Exchange Rate Returns," Papers 94-002, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
  9. Almekinders, G.J. & Eijffinger, S.C.W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Other publications TiSEM 9ca974cc-1549-4752-8dbe-0, Tilburg University, School of Economics and Management.
  10. 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.
  11. Andrews, Donald W. K., 1988. "Chi-square diagnostic tests for econometric models : Introduction and applications," Journal of Econometrics, Elsevier, vol. 37(1), pages 135-156, January.
  12. Owen F. Humpage, 1994. "Institutional aspects of U.S. intervention," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 2-19.
  13. McFadden, Daniel, 1974. "The measurement of urban travel demand," Journal of Public Economics, Elsevier, vol. 3(4), pages 303-328, November.
  14. Lewis, Karen K, 1995. "Occasional Interventions to Target Rates," American Economic Review, American Economic Association, vol. 85(4), pages 691-715, September.
  15. Gartner, Manfred, 1987. "Intervention Policy under Floating Exchange Rates: An Analysis of the Swiss Case," Economica, London School of Economics and Political Science, vol. 54(216), pages 439-53, November.
  16. Szakmary, Andrew C. & Mathur, Ike, 1997. "Central bank intervention and trading rule profits in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 513-535, August.
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