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How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches

Fratzscher, Marcel - 2005

The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based...

Persistent link: https://www.econbiz.de/10011604574

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - 2006

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous …

Persistent link: https://www.econbiz.de/10011604696

Noise Traders? Trigger Rates, FX Options, and Smiles

Pierdzioch, Christian - 2000

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...

Persistent link: https://www.econbiz.de/10010260624

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

Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2003

Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were …

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

Currency Futures and Currency Crises

Röthig, Andreas - 2004

, Canada, Japan, Korea and Switzerland in terms of the US dollar. The empirical results indicate that there is a positive …

Persistent link: https://www.econbiz.de/10010262985

A role model for China?: exchange rate flexibility and monetary policy in Japan

Schnabl, Gunther; Danne, Christian - 2007

Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan … policy after the shift of Japan from a fixed to a floating exchange rate regime. The econometric estimations allow for regime … soften the appreciation pressure by interest rate cuts have led Japan into the liquidity trap. …

Persistent link: https://www.econbiz.de/10010264171

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

Persistent link: https://www.econbiz.de/10010271381

Zum Einfluß realer effektiver Wechselkurse auf die Wettbewerbsfähigkeit

Schumacher, Dieter - In: Vierteljahrshefte zur Wirtschaftsforschung 61 (1992) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10011475308

Exchange Rate and Output Dynamics Between Japan and Korea

Kang, Sammo; Kim, Soyoung; Wang, Yunjong; Yoon, Deok Ryong - 2003

Japan and Korea are close countries in terms of economic interaction as well as geography. To quantify the impact of …

Persistent link: https://www.econbiz.de/10010295371

Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests

Kutan, Ali M.; Zhou, Su - 2002

In a recent survey, Engel (1996) reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the...

Persistent link: https://www.econbiz.de/10010301206

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