Large versus small foreign exchange interventions

Rasmus Fatum and Yohei Yamamoto

Journal of Banking & Finance, 2014, vol. 43, issue C, 114-123

Abstract: We use non-temporal threshold analysis to investigate the exchange rate effects of large versus small interventions. More than two decades of official daily data on intervention in the JPY/USD market facilitate our analysis. We find no evidence that small interventions exert a discernible influence on the exchange rate while large interventions significantly influence the exchange rate in the theoretically consistent manner. We conclude that small interventions may not be considered a determinant of the exchange rate while large interventions constitute an important element in our understanding, and modeling, of the exchange rate.

Keywords: Foreign exchange markets; Foreign exchange market intervention; Intervention amount (search for similar items in EconPapers)
JEL-codes: E52 F31 G14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:43:y:2014:i:c:p:114-123

DOI: 10.1016/j.jbankfin.2014.03.015

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