Kim, Suk-Joong; Sheen, Jeffrey - School of Economics, Faculty of Arts and Social Sciences - 2004
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 6-28-2002. We also estimate a friction model of BOJ's...