Chen, Chih-nan; Watanabe, Tsutomu; Yabu, Tomoyoshi - Institute for Monetary and Economic Studies, Bank of Japan - 2009
The monetary authorities react even to intraday changes in the exchange rate; however, in most cases, intervention data is available only at a daily frequency. This temporal aggregation makes it difficult to identify the effects of interventions on the exchange rate. We propose a new method based...