Intervention of Japanese Monetary Authority in the Foreign Exchange Market

T. Obara ()

International Journal of Applied Econometrics and Quantitative Studies, 2005, vol. 2, issue 4, 73-86

Abstract: The Japanese monetary authority intervenes into the foreign exchange market on and off. The influence of the operations on the fluctuation of the yen exchange rate to U.S. dollar is examined in the period of September 17 through 28, 2001. A cyclic behavior is found in correlation functions of the series. It is shown that the cycle of the fluctuation is elongated after the intervention. A model that represents these properties of correlation functions is proposed. The Fokker-Planck equation of this model is solved. The expectation value derived from the solution is cyclical and the variance is constant. Those results are different from what the Ornstein-Uhlenbeck process has.

Keywords: Intervention; Fokker-Planck equation; Langevin equation; exchange rate fluctuation (search for similar items in EconPapers)
JEL-codes: C51 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.usc.es/economet/reviews/ijaeqs245.pdf
No

Related works:
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:eaa:ijaeqs:v:2:y2005:i:4_5

Ordering information: This journal article can be ordered from
http://www.usc.es/economet/info.htm

Access Statistics for this article

More articles in International Journal of Applied Econometrics and Quantitative Studies from Euro-American Association of Economic Development
Bibliographic data for series maintained by M. Carmen Guisan ().