EconPapers    
Economics at your fingertips  
 

Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan

Jean-Yves Gnabo, Sébastien Laurent and Christelle Lecourt

Journal of International Financial Markets, Institutions and Money, 2009, vol. 19, issue 1, 94-111

Abstract: This paper empirically investigates the induced effect of a more and less transparent central bank intervention (CBI) policy on rumors that can emerge. Using the case of Japan, we estimate a dynamic-probit model that explains the main determinants of false reports (i.e. falsely reported interventions) and anticipative rumors (i.e. rumors about future interventions) with reference to the intervention strategy adopted by the central bank for actual and oral interventions, and the uncertainty climate of the market captured by two volatility measures. Our results suggest that the induced effect of a transparent CBI policy on market rumors critically depends on the type of speeches made by officials.

Keywords: Central; banks; FX; interventions; Transparency; Rumors (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042-4431(07)00045-5
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan (2009)
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:eee:intfin:v:19:y:2009:i:1:p:94-111

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:intfin:v:19:y:2009:i:1:p:94-111