Characteristic market behaviors caused by intervention in a foreign exchange market

Takayuki Mizuno, Yukiko Saito, Tsutomu Watanabe and Hideki Takayasu

Papers from arXiv.org

Abstract: In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the averaged rate about 1 yen per 1 dollar in an hour, and the rate change distribution becomes asymmetric for a few hours.

Date: 2005-08
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/physics/0508172 Latest version (application/pdf)

Related works:
Chapter: Characteristic market behaviors caused by intervention in a foreign exchange market (2006)
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:arx:papers:physics/0508172

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().