Does Foreign Exchange Intervention Volume Matter?

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: EPRU Working Paper Series ; No. 2012-03

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Foreign Exchange ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Foreign Exchange Market Intervention ; Intervention Volume ; Wechselkurspolitik ; Wechselkurs ; Zeitreihe ; Japan

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fatum, Rasmus ; Yamamoto, Yohei
• Event: Veröffentlichung
• (who): University of Copenhagen, Economic Policy Research Unit (EPRU)
• (where): Copenhagen
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/82113
• Last update: 10.03.2025, 11:42 AM CET