Chortareas, Georgios; Jiang, Ying - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 1, pp. 25-36
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.
