The causal relationships between foreign exchange intervention and exchange rate

Takeshi Hoshikawa

Applied Economics Letters, 2008, vol. 15, issue 7, 519-522

Abstract: This article examines the causal relationships between foreign exchange intervention and exchange rate. We find evidence of instantaneous causal relationships in mean and variance and feedback causal relationships in mean. It suggests that the expectation for exchange rate and volatility is influenced by information on foreign exchange intervention.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2008:i:7:p:519-522

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DOI: 10.1080/13504850600721890

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