Arbeitspapier
A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized intervention has a higher probability of success than sterilized intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of Japanese foreign exchange intervention. We find a changing impact of Japanese foreign exchange intervention on exchange rate volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 650
- Klassifikation
-
Wirtschaft
Central Banks and Their Policies
Foreign Exchange
International Monetary Arrangements and Institutions
International Financial Markets
- Thema
-
Change Point Detection
Exchange rate volatility
foreign exchange intervention
GARCH
Japan
Structural Breaks
Wechselkurspolitik
Wechselkurs
Volatilität
ARCH-Modell
Strukturbruch
Yen
US-Dollar
Japan
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hillebrand, Eric
Schnabl, Gunther
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hillebrand, Eric
- Schnabl, Gunther
- European Central Bank (ECB)
Entstanden
- 2006
Ähnliche Objekte (12)
Purchasing power parity: Granger causality tests for the yen-dollar exchange rate
The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
China's exchange rate impasse and the weak U.S. dollar
China's exchange rate impasse and the weak U.S. dollar
China and its Dollar exchange rate: A worldwide stabilizing influence?
Exchange rate volatility and growth in emerging Europe and East Asia
De jure versus de facto Exchange Rate Stabilization in Central and Eastern Europe
De jure versus de facto: Exchange rate stabilization in Central and Eastern Europe
Exchange rate volatility and growth in small open economies at the EMU periphery
The Russian currency basket: The rising role of the Euro for Russia's exchange-rate policies
Exchange Rate Regime, Financial Market Bubbles and Long-Term Growth in China: Lessons from Japan
Purchasing power parity: Granger causality tests for the yen-dollar exchange rate
The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
China's exchange rate impasse and the weak U.S. dollar
China's exchange rate impasse and the weak U.S. dollar
China and its Dollar exchange rate: A worldwide stabilizing influence?
Exchange rate volatility and growth in emerging Europe and East Asia
De jure versus de facto Exchange Rate Stabilization in Central and Eastern Europe
De jure versus de facto: Exchange rate stabilization in Central and Eastern Europe
Exchange rate volatility and growth in small open economies at the EMU periphery
The Russian currency basket: The rising role of the Euro for Russia's exchange-rate policies
Exchange Rate Regime, Financial Market Bubbles and Long-Term Growth in China: Lessons from Japan
Purchasing power parity: Granger causality tests for the yen-dollar exchange rate
The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
China's exchange rate impasse and the weak U.S. dollar
China's exchange rate impasse and the weak U.S. dollar
China and its Dollar exchange rate: A worldwide stabilizing influence?
Exchange rate volatility and growth in emerging Europe and East Asia
De jure versus de facto Exchange Rate Stabilization in Central and Eastern Europe
De jure versus de facto: Exchange rate stabilization in Central and Eastern Europe
Exchange rate volatility and growth in small open economies at the EMU periphery
The Russian currency basket: The rising role of the Euro for Russia's exchange-rate policies