FX intervention in the yen-US dollar market: A coordination channel perspective

Arbeitspapier

The coordination channel has recently been established as an additional means by which foreign exchange market intervention may be effective. It is conjectured that strong and persistent misalignments of the exchange rate are caused by a coordination failure among fundamentals-based traders. In such situations official intervention may act as a coordinating signal, encouraging traders to engage in stabilizing speculation. We apply the framework developed in Reitz and Taylor (2008) to daily data on the yen-US dollar exchange rate and on Federal Reserve and Japanese Ministry of Finance intervention operations. The results provide further support for the coordination channel of intervention effectiveness.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1765

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; Foreign Exchange ; Open Economy Macroeconomics
• Subject: foreign exchange intervention ; coordination channel ; STR-GARCH model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Reitz, Stefan ; Taylor, Mark P.
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/57272
• Last update: 10.03.2025, 11:44 AM CET