The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility

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 the interventions of the BoJ increased the volatility of the yen/U.S. dollar exchange rate. We find that that the interventions of the BoJ, in particular those interventions not reported in the financial press, were positively correlated with exchange rate volatility.

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Year of publication:	2003
Authors:	Frenkel, Michael ; Pierdzioch, Christian ; Stadtmann, Georg
Publisher:	Kiel : Kiel Institute for World Economics (IfW)
Subject:	Wechselkurspolitik \| Japanisch \| Wirtschaftspolitische Wirkungsanalyse \| Wechselkurs \| Volatilität \| Japan \| Vereinigte Staaten \| Foreign exchange market interventions \| Exchange rate volatility \| Bank of Japan

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Series:	Kiel Working Paper ; 1165
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	364355123 [GVK] hdl:10419/17912 [Handle] RePEc:zbw:ifwkwp:1165 [RePEc]
Classification:	E58 - Central Banks and Their Policies ; G15 - International Financial Markets ; F33 - International Monetary Arrangements and Institutions ; F31 - Foreign Exchange
Source:	EconStor

Persistent link: https://www.econbiz.de/10010260629