English, Article, Journal or magazine article edition: Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective and Through Which Channel Does It Work? Rasmus Fatum

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Bookmark: http://trove.nla.gov.au/version/35355
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Official Japanese Intervention in the JPY/​USD Exchange Rate Market: Is It Effective and Through Which Channel Does It Work?
Author
  • Rasmus Fatum
Physical Description
  • preprint
Notes
  • RePEc:kud:epruwp:09-02
  • This paper investigates whether official Japanese intervention in the JPY/​USD exchange rate over the January 1999 to March 2004 time period is effective. By integrating the official intervention data with a comprehensive set of newswire reports capturing days on which there is a rumor or speculation of intervention, the paper also attempts to shed some light on through which of the two channels, the signaling channel in a broad sense or the portfolio balance channel, effective Japanese intervention works. The results suggest that Japanese intervention is effective during the first 5 years of the sample and ineffective during the last 3 months of the sample, thereby providing an ex-post rationale for why Japan intervened as well as for why the interventions stopped. Moreover, the results suggest that when Japanese intervention is effective, it works through a portfolio-balance channel. The results do not rule out that effective intervention also works through signaling.
  • Exchange Rates, Foreign Exchange Market Intervention, Channels of Transmission
  • RePEc:ime:imedps:09-e-12
Language
  • English
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