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Bank of Japan Interventions and the Volatility of the Dollar/Yen Exchange Rate

Georgios Chortareas and Ying Jiang ()
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Ying Jiang: Nottingham University Business School China

Credit and Capital Markets, 2017, vol. 50, issue 1, 25-36

Abstract: We analyse the impact of Bank of Japan’s (BoJ) intervention on the volatility of the USD/JPY exchange rates under a regime switching framework. We find that the Yen intervention decreases the volatility, and the impact is only significant when market volatility is low.

JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:kuk:journl:v:50:y:2017:i:1:p:25-36

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