The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility

Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg
January 2005
International Review of Economics & Finance;2005, Vol. 14 Issue 1, p27
Academic Journal
In previous empirical work, the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility has mainly been analyzed by using data on press reports of BoJ interventions. We use official intervention data for the period 1993–2000 that were released only recently by the BoJ. We find a positive link between the interventions of the BoJ and the volatility of the yen/U.S. dollar exchange rate. We also find that those BoJ interventions that were not reported in the financial press were positively correlated with exchange rate volatility.


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