Author: Michael FrenkelPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
The Effects of Foreign Exchange Market Interventions of the Bank of Japan on the $/Yen Exchange Rate Volatility
Author: Michael FrenkelPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Previous studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993 - 2000 that were released only recently by the BoJ and find that interventions of the BoJ increased the volatility of the $/yen exchange rate.
The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility
Author: Michael FrenkelBank of Japan Interventions, Exchange Rate Volatility, and Spillover Effects
Author: Georgios E. ChortareasPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We consider the effect of interventions by the Bank of Japan in the foreign exchange market during the period 2000-2004. During this period the interventions are of substantial magnitude, relatively frequent, not co-ordinated and take place within the 'zero interest rate' monetary policy regime. Only scant evidence exists in the literature on the spillover effect and the impact on covariance in both daily and intraday frameworks, as well as on analyzing the characteristics of intraday volatility dynamics on both intervention days and non-intervention days. In contrast to earlier studies, our analysis does not hinge on the assumption that intervention always increases the volatility of the exchange rate. We perform rolling estimations of a Multivariate GARCH model, use the quartile plots of intraday volatility, and perform equal variance tests to investigate intraday volatility characteristics on intervention and non-intervention days using both daily and 15-minute data. Our findings suggest that Band of Japan interventions decrease the volatility of the yen/USD exchange rate. This result contrasts with the findings of earlier studies which typically find that interventions result in higher volatility. The effect of interventions on the yen/USD volatility depends on the different states that the market experiences and its impact is different under high and low levels of exchange rate volatility. We also find the intraday volatility is less heteroskedastic within the intervention day and this has implications for volatility forecasting. We find strong evidence that intervention in the USD/YEN increases the volatility of the Euro/Yen.
Interventions in the Yen-Dollar Spot Market
Author: Suk-Joong KimPublisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
We test the effectiveness of Bank of Japan (BOJ)'s foreign exchange interventions on conditional first and second moments of exchange rate returns and traded volumes, using a bivariate EGARCH model of the Yen/USD market from 5-13-1991 to 3-30-2004. We also estimate a friction model of BOJ's intervention reaction function based on reducing short-term market disorderliness and supplementing domestic monetary policy. Important finding of this study are that: i) we find ineffectiveness of BOJ interventions in influencing exchange rate trends pre-1995, in general, but effectiveness post-1995; ii) FED intervention amplified the effectiveness of the BOJ transactions; iii) interventions amplified market volatility and volumes through a 'learning by trading' process; iv) BOJ's interventions were based on 'leaning against the wind' motivations on the exchange rate trend and volumes; and v) BOJ interventions were vigorously used in support of domestic monetary policy objectives post-1995. Though some of our findings confirm recent studies, our analysis goes deeper to provide new findings with important implications for central banks and foreign exchange market participants.
Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan
Author: Rasmus FatumPublisher:
ISBN:
Category : Foreign exchange administration
Languages : en
Pages : 52
Book Description
Japanese official intervention in the foreign exchange market is of by far the largest magnitude in the world, despite little or no evidence that it is effective in moving exchange rates. This paper investigates the effectiveness of intervention using recently published Japanese official daily data and an event study methodology. Focusing on daily Japanese and US official intervention operations, we identify separate intervention episodes' and analyze the subsequent effect on the exchange rate. Using the non-parametric sign test and matched-sample test, we find strong evidence that sterilized intervention systemically affects the exchange rate in the short-run (less than one month). This result holds even when intervention is not associated with (simultaneous) interest rate changes, whether or not intervention is secret' (in the sense of no official reports or rumors of intervention reported over the newswires), and against other robustness checks. Large-scale (amounts over $1 billion) intervention, coordinated with the Bank of Japan and the Federal Reserve working in unison, give the highest success rate.
A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/dollar Exchange Rate Volatility
Author: Eric HillebrandMarket Volatility and Foreign Exchange Intervention in EMEs
Author: Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y EconómicoPublisher:
ISBN: 9789291319626
Category : Banks and banking, Central
Languages : es
Pages : 0
Book Description
Bank of Japan and Federal Reserve Interventions in the Yen/ U.S. Dollar Market
Author: Michael FrenkelPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper uses recently released official data on the foreign exchange market interventions of the Bank of Japan (BoJ) in the yen/U.S. dollar market during the period 1991-2001 in order to examine the motivation for the intervention policy of the BoJ. We also compare the intervention policy of the BoJ and the Federal Reserve. Our results suggest that the BoJ regularly responded to deviations of the yen/U.S. dollar exchange rate from a short-term and a long-term exchange rate target. By contrast, the Fed intervened only occasionally and seemed to have merely reinforced BoJ interventions.
A Structural Break in the Effects of Japanese Foreign Exchange Intervention of Yen/dollar Exhange Rate Volatility
Author: Eric HillebrandThe Japanese Yen as an International Currency
Author: Mr.George S. TavlasPublisher: International Monetary Fund
ISBN: 1451930992
Category : Business & Economics
Languages : en
Pages : 61
Book Description
The role of the Japanese yen as an international currency is assessed. It is found that the determinants of international-currency use imply some increase for the yen’s use in international finance; however, the implications for the yen’s use in international trade are mixed. It is also shown that, despite Japan’s emergence as the world’s largest net creditor nation, Japan’s capital outflows have not significantly facilitated the yen’s internationalization. Data are presented showing that, although the yen’s use as an international currency has increased, it is still rather modest. Wider use of the yen as a regional currency in Asia has occurred, though a “yen-zone” does not appear to be emerging.