Effects of Japanese intervention on yen/dollar exchange rate volatility: a conditional jump dynamics approach

摘要

This article investigates the effects of foreign exchange interventions by the Japanese authorities on the level as well as the volatility of yen/dollar exchange rate. The empirical results show interventions in the last decade were effective not only in altering the exchange rate level, but also in volatility reduction. Jump events that tended to drive yen's appreciations and volatility increases have been effectively reduced by the ‘large-in-size’ interventions during the last decade. Our findings are in compliance with the coordination channel that explains the effectiveness in intervention proposed by Taylor (200414. Taylor, M. 2004. Is official exchange rate intervention effective?. Economica , 71: 1-11. [CrossRef], [Web of Science ®]View all references) and Reitz and Taylor (2006).View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504850701735799