Arbeitspapier

Does Foreign Exchange Intervention Volume Matter?

zu Verbundenen Objekten

We investigate whether foreign exchange intervention volume matters for the exchange rate effects of intervention. Our investigation employs daily data on Japanese interventions from April 1991 to April 2012 and time-series estimations, non-temporal threshold analysis, as well as binary choice models. We find that intervention volume matters for the effects of intervention, but only to the extent that the exchange rate effect per intervention unit is magnified in a linear sense by the larger intervention amount. This is a policy-relevant finding that also adds to our understanding of how intervention works.

Sprache
Englisch

Erschienen in
Series: EPRU Working Paper Series ; No. 2012-03

Klassifikation
Wirtschaft
Monetary Policy
Foreign Exchange
Information and Market Efficiency; Event Studies; Insider Trading
Thema
Foreign Exchange Market Intervention
Intervention Volume
Wechselkurspolitik
Wechselkurs
Zeitreihe
Japan

Ereignis
Geistige Schöpfung
(wer)
Fatum, Rasmus
Yamamoto, Yohei
Ereignis
Veröffentlichung
(wer)
University of Copenhagen, Economic Policy Research Unit (EPRU)
(wo)
Copenhagen
(wann)
2012

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Fatum, Rasmus
  • Yamamoto, Yohei
  • University of Copenhagen, Economic Policy Research Unit (EPRU)

Entstanden

  • 2012

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