This paper examines different aspects of transparency in the foreign exchange policy. More precisely, it analyses how transparency evolved over the last decades in Japan and how market participants reacted to the changes in transparency. For this, we create a dataset capturing the main features...

This paper generalizes central banks’ FX interventions reaction functions to include oral interventions alongside actual ones. Using Japanese data for the 1991-2004 period, we estimate an ordered probit explaining the occurrence of each type of intervention and evaluating the extent to which...

In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide empirical evidence of how these two sources of uncertainty...

This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be...

Inflation-targeting central banks often explicitly reserve the right to intervene in foreign exchange markets when the exchange rate 'deviates from fundamentals' and/or 'displays excessive volatility'. In the case of emerging markets, central banks can often ill afford to neglect exchange rate...

The aim of this paper is to contribute to the debate on systemic risk by assessing the extent to which distress within the main different financial sectors, namely, the banking, insurance and other financial services industries contribute to systemic risk. To this end, we rely on the ΔCoVaR...

Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to...