The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility

Michael Frenkel, Christian Pierdzioch and Georg Stadtmann

No 1165, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: Previous studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were released only recently by the BoJ and find that the interventions of the BoJ increased the volatility of the yen/U.S. dollar exchange rate. We find that that the interventions of the BoJ, in particular those interventions not reported in the financial press, were positively correlated with exchange rate volatility.

Keywords: Foreign exchange market interventions; Exchange rate volatility; Bank of Japan (search for similar items in EconPapers)
JEL-codes: E58 F31 F33 G15 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (16)

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Related works:
Journal Article: The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1165

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