Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82101
Authors: 
Fatum, Rasmus
Year of Publication: 
2009
Series/Report no.: 
EPRU Working Paper Series 2009-02
Abstract: 
This paper investigates whether official Japanese intervention in the JPY/USD exchange rate over the January 1999 to March 2004 time period is effective. By integrating the official intervention data with a comprehensive set of newswire reports capturing days on which there is a rumor or speculation of intervention, the paper also attempts to shed some light on through which of the two channels, the signaling channel in a broad sense or the portfolio balance channel, effective Japanese intervention works. The results suggest that Japanese intervention is effective during the first 5 years of the sample and ineffective during the last 3 months of the sample, thereby providing an ex-post rationale for why Japan intervened as well as for why the interventions stopped. Moreover, the results suggest that when Japanese intervention is effective, it works through a portfolio-balance channel. The results do not rule out that effective intervention also works through signaling.
Subjects: 
exchange rates
foreign exchange market intervention
channels of Transmission
JEL: 
E52
F31
G14
Document Type: 
Working Paper

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