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- W3124960537 abstract "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." @default.
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- W3124960537 date "2017-11-30" @default.
- W3124960537 modified "2023-09-24" @default.
- W3124960537 title "Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume" @default.
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- W3124960537 doi "https://doi.org/10.1142/9789813223585_0003" @default.
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