On-Going versus Completed Interventions and Yen/Dollar Expectations - Evidence from Disaggregated Survey Data

Yushi Yoshida and Jan Rülke ()
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Jan Rülke: Otto Beisheim School of Management, WHU

No 35, Discussion Papers from Kyushu Sangyo University, Faculty of Economics

Abstract: This paper analyzes the effectiveness of Bank of Japan (BOJ) interventions between November 1995 and December 2004 on foreign exchange expectations. Unlike previous studies, we focus on exchange rate expectations of individual market participants in the yen/dollar market. To this end, we use disaggregated forecast survey data from Consensus Economics. We find that, in principle, BOJ interventions do not affect exchange rate expectations when we disregard ‘evaluation’ period effect and successful intervention effect. However, applying the methodology proposed by Fatum and Hutchison (2006) to identify successful interventions on current spot market, we provide evidence that only successful interventions affect exchange rate expectations. Compared to the existing literature, which argues that interventions have, if at all, only short-term effects on the exchange rate, we show that successful interventions affect the exchange rate forecasts for up-to three months.

Keywords: Bank of Japan; Central bank intervention; Evaluation Period; Forecasts; Exchange rate expectations; Successful intervention (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2009-10, Revised 2009-12
New Economics Papers: this item is included in nep-cba, nep-for and nep-ifn
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http://www.kyusan-u.ac.jp/J/yushi/MyPapers/dp35R.pdf Revised version, 2009Dec (application/pdf)
http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp35.pdf First version, 2009Oct (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:kyu:dpaper:35

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