Bank of Japan Interventions and the Volatility of the Dollar/Yen Exchange Rate

We analyse the impact of Bank of Japan"s (BoJ) intervention on the volatility of the USD/JPY exchange rates under a regime switching framework. We find that the Yen intervention decreases the volatility, and the impact is only significant when market volatility is low.

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Year of publication:	2017
Authors:	Chortareas, Georgios ; Jiang, Ying
Published in:	Credit and Capital Markets – Kredit und Kapital. - ISSN 2199-1235. - Vol. 50.2017, 1, p. 25-36
Publisher:	Berlin : Duncker & Humblot
Subject:	Foreign Exchange Intervention \| Exchange Rate Volatility \| Regime Switching GARCH

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3790/ccm.50.1.25 [DOI]
Classification:	F31 - Foreign Exchange ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10014523091