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Title:The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility PDF Logo
Authors:Frenkel, Michael
Pierdzioch, Christian
Stadtmann, Georg
Issue Date:2003
Series/Report no.:Kieler Arbeitspapiere 1165
Abstract:Previous studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were released only recently by the BoJ and find that the interventions of the BoJ increased the volatility of the yen/U.S. dollar exchange rate. We find that that the interventions of the BoJ, in particular those interventions not reported in the financial press, were positively correlated with exchange rate volatility.
Subjects:Foreign exchange market interventions
Exchange rate volatility
Bank of Japan
JEL:E58
G15
F33
F31
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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