Kiel Working Papers, Kiel Institute for World Economics
No 1165:
The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility
Michael Frenkel, Christian Pierdzioch and Georg Stadtmann
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; (follow links to similar papers)
JEL-Codes: F31; F33; E58; G15; (follow links to similar papers)
15 pages, May 2003
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