Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82113
Authors: 
Fatum, Rasmus
Yamamoto, Yohei
Year of Publication: 
2012
Series/Report no.: 
EPRU Working Paper Series 2012-03
Abstract: 
We investigate whether foreign exchange intervention volume matters for the exchange rate effects of intervention. Our investigation employs daily data on Japanese interventions from April 1991 to April 2012 and time-series estimations, non-temporal threshold analysis, as well as binary choice models. We find that intervention volume matters for the effects of intervention, but only to the extent that the exchange rate effect per intervention unit is magnified in a linear sense by the larger intervention amount. This is a policy-relevant finding that also adds to our understanding of how intervention works.
Subjects: 
Foreign Exchange Market Intervention
Intervention Volume
JEL: 
E52
F31
G14
Document Type: 
Working Paper

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