Publication:
Intraday evidence of efficacy of 1991–2004 Yen intervention by the Bank of Japan

dc.contributor.author Kim, Suk-Joong en_US
dc.date.accessioned 2021-11-25T13:37:35Z
dc.date.available 2021-11-25T13:37:35Z
dc.date.issued 2007 en_US
dc.description.abstract This paper investigates the intraday efficacy of Yen intervention conducted by the Bank of Japan. Segmenting a 24 h calendar day into three business hours – onshore and two offshore hours – I examine both contemporaneous and ex post intervention effects on the Yen/USD exchange rate. Prior to June 1995, intervention moved the exchange rate in the wrong direction and the level of volatility is significantly raised during Tokyo business hours. This is due to the well-known simultaneity bias. However, during the first overnight hours (London business hours) the simultaneity bias is significantly reduced and by the second overnight hours (New York afternoon hours) intervention successfully reversed the exchange rate trends and reduced the volatility. Post-June 1995, intervention had an immediate effect of reversing the exchange rate trend and it remained effective, although at reduced magnitude, throughout overnight horizons. A volatility reducing effect is significant from the first overnight horizon and its effectiveness rises in the second overnight horizon. en_US
dc.identifier.issn 1042-4431 en_US
dc.identifier.uri http://hdl.handle.net/1959.4/40141
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 Intraday evidence of efficacy of 1991–2004 Yen intervention by the Bank of Japan 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.intfin.2006.01.001 en_US
unsw.relation.faculty Business
unsw.relation.ispartofissue 4 en_US
unsw.relation.ispartofjournal Journal of International Financial Markets Institutions and Money en_US
unsw.relation.ispartofpagefrompageto 341-360 en_US
unsw.relation.ispartofvolume 17 en_US
unsw.relation.originalPublicationAffiliation Kim, Suk-Joong, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.school School of Banking & Finance *
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