Publication:
Interventions in the Yen-Dollar spot market: A story of price, volatility and volume
Interventions in the Yen-Dollar spot market: A story of price, volatility and volume
dc.contributor.author | Kim, Suk-Joong | en_US |
dc.contributor.author | Sheen, Jeffrey | en_US |
dc.date.accessioned | 2021-11-25T13:37:39Z | |
dc.date.available | 2021-11-25T13:37:39Z | |
dc.date.issued | 2006 | en_US |
dc.description.abstract | We test the effectiveness of Bank of Japan (BOJ)'s foreign exchange interventions on conditional first and second moments of exchange rate returns and traded volumes, using a bivariate EGARCH model of the Yen/USD market from 5-13-1991 to 3-16-2004. We also estimate a friction model of BOJ's intervention reaction function based on reducing short-term market disorderliness and supplementing domestic monetary policy. Important finding of this study are that: (i) we find ineffectiveness of BOJ interventions in influencing exchange rate trends pre-1995, in general, but effectiveness post-1995; (ii) FED intervention amplified the effectiveness of the BOJ transactions; (iii) interventions amplified market volatility and volumes through a 'learning by trading' process; (iv) BOJ's interventions were based on 'leaning against the wind' motivations on the exchange rate trend and volumes; and (v) BOJ interventions were vigorously used in support of domestic monetary policy objectives post-1995. Though some of our findings confirm recent studies, our analysis goes deeper to provide new findings with important implications for central banks and foreign exchange market participants. | en_US |
dc.identifier.issn | 0378-4266 | en_US |
dc.identifier.uri | http://hdl.handle.net/1959.4/40146 | |
dc.language | English | |
dc.language.iso | EN | en_US |
dc.rights | CC BY-NC-ND 3.0 | en_US |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/3.0/au/ | en_US |
dc.source | Legacy MARC | en_US |
dc.title | Interventions in the Yen-Dollar spot market: A story of price, volatility and volume | en_US |
dc.type | Journal Article | en |
dcterms.accessRights | open access | |
dspace.entity.type | Publication | en_US |
unsw.accessRights.uri | https://purl.org/coar/access_right/c_abf2 | |
unsw.identifier.doiPublisher | http://dx.doi.org/10.1016/j.jbankfin.2005.12.005 | en_US |
unsw.relation.faculty | Business | |
unsw.relation.ispartofissue | 11 | en_US |
unsw.relation.ispartofjournal | Journal of Banking and Finance | en_US |
unsw.relation.ispartofpagefrompageto | 3191-3214 | en_US |
unsw.relation.ispartofvolume | 30 | en_US |
unsw.relation.originalPublicationAffiliation | Kim, Suk-Joong, Banking & Finance, Australian School of Business, UNSW | en_US |
unsw.relation.originalPublicationAffiliation | Sheen, Jeffrey | en_US |
unsw.relation.school | School of Banking & Finance | * |
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