Resource title

Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility

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image for OpenScout resource :: Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility

Resource description

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that during the period 1995 through 1999, interventions of the Japanese monetary authorities did not have the desired effect with respect to the exchange rate level and we measure an increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with successful interventions, both in depreciating the yen and in reducing exchange rate volatility.

Resource author

Eric Hillebrand, Gunther Schnabl, Yasemin Ulu

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25811

Resource license

Adapt according to the presented license agreement and reference the original author.