Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy

Takatoshi Ito () and Tomoyoshi Yabu

No 26644, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We analyze the history of Japanese foreign exchange interventions from 1971 to 2018. First, we provide the best proxy for monthly interventions for the period from 1971 to 1990, when the intervention timings and amounts were not officially disclosed. The accuracy of the proxy is tested for the period when the statistics were disclosed after 1991. The proxy explains 99.8% of actual settlement-based interventions. Second, we examine conditions under which the Japanese monetary authorities are likely to intervene by estimating a policy reaction function, using the long-term data, spanning the period when intervention data have been officially disclosed and the period where our proxy is available. Third, we analyze intervention timings and amounts for Japan, the US, and Germany. Fourth, we present the episode of international coordination represented by the Plaza and Louvre agreements as a case study of notable interventions during the period.

JEL-codes: E52 E58 F31 G15 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published as Takatoshi Ito & Tomoyoshi Yabu, 2020. "Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy," Journal of the Japanese and International Economies, vol 58.

Downloads: (external link)
http://www.nber.org/papers/w26644.pdf (application/pdf)

Related works:
Journal Article: Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:26644

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w26644

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().