Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan

Rasmus Fatum and Michael Hutchison

No 9648, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Japanese official intervention in the foreign exchange market is of by far the largest magnitude in the world, despite little or no evidence that it is effective in moving exchange rates. This paper investigates the effectiveness of intervention using recently published Japanese official daily data and an event study methodology. Focusing on daily Japanese and US official intervention operations, we identify separate intervention episodes' and analyze the subsequent effect on the exchange rate. Using the non-parametric sign test and matched-sample test, we find strong evidence that sterilized intervention systemically affects the exchange rate in the short-run (less than one month). This result holds even when intervention is not associated with (simultaneous) interest rate changes, whether or not intervention is secret' (in the sense of no official reports or rumors of intervention reported over the newswires), and against other robustness checks. Large-scale (amounts over $1 billion) intervention, coordinated with the Bank of Japan and the Federal Reserve working in unison, give the highest success rate

JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 2003-04
New Economics Papers: this item is included in nep-fin, nep-ifn and nep-rmg
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

Published as Fatum, Rasmus and Michael M. Hutchison. "Is Sterilised Foreign Exchange Intervention Effective After All? An Event Study Approach," Economic Journal 113(487): 390-411, April 2003
Published as Fatum, Rasmus and Michael Hutchison. "Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan," Journal of International Money and Finance 25(2): 199-219, March 2006

Downloads: (external link)
http://www.nber.org/papers/w9648.pdf (application/pdf)

Related works:
Journal Article: Effectiveness of official daily foreign exchange market intervention operations in Japan (2006)
Working Paper: Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan (2003)
Working Paper: Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan (2003)
Working Paper: Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan (2003)
Working Paper: Effectiveness of official daily foreign exchange market intervention operations in Japan (2002)
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:9648

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w9648

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 ().