Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153084
Authors: 
Hillebrand, Eric
Schnabl, Gunther
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 650
Abstract: 
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized intervention has a higher probability of success than sterilized intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of Japanese foreign exchange intervention. We find a changing impact of Japanese foreign exchange intervention on exchange rate volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized.
Subjects: 
Change Point Detection
Exchange rate volatility
foreign exchange intervention
GARCH
Japan
Structural Breaks
JEL: 
E58
F31
F33
G15
Document Type: 
Working Paper

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