An Analysis of Japanese Foreign Exchange Interventions, 1991-2002
Author : Alain P. Chaboud
Publisher :
Page : 31 pages
File Size : 46,51 MB
Release : 2003
Category : Foreign exchange administration
ISBN :
An Assessment of the Impact of Japanese Foreign Exchange Intervention
Author : Alain Chaboud
Publisher :
Page : 0 pages
File Size : 39,18 MB
Release : 2007
Category :
ISBN :
Book Description
We analyze the short-term price impact of Japanese foreign exchange intervention operations between 1991 and 2004, using official data from Japan's Ministry of Finance. Over the period as a whole, we find some evidence of a modest against the wind effect, but interventions do not have value as a forecast that the exchange rate will move in a direction consistent with the operations. Interventions conducted between 1995 and 2002, which were large and infrequent, met with a much higher degree of success. For the most recent episode of intervention, in 2003 and 2004, despite the record size and frequency of the overall episode, it is difficult to statistically distinguish the pattern of exchange rate movements on intervention days from that of all the days in that particular subperiod, showing little effectiveness. Still, while the evidence of Japanese intervention effectiveness is modest overall, it appears to be stronger than that found using similar techniques for U.S. intervention operations conducted in the 1980s and 1990s.
An Assessment of the Impact of Japanese Foreign Exchange Intervention : 1991-2004
Author : Alain P. Chaboud
Publisher :
Page : 50 pages
File Size : 21,36 MB
Release : 2005
Category : Foreign exchange administration
ISBN :
Book Description
The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection
Author : Eric T. Hillebrand
Publisher :
Page : 0 pages
File Size : 16,82 MB
Release : 2005
Category :
ISBN :
Book Description
In this paper we test for the short-term impact of foreign exchange intervention on both the level of the yen/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention, our global GARCH estimation suggests that Japanese foreign exchange interventions between 1991 and 2002 had the intended effect on the same day, but at the cost of higher exchange rate volatility. Testing for the robustness of this finding we show that the results are highly dependent on the time period. From 1991 to 1998 Japan's official currency purchases were unsuccessful and coincided with increased exchange rate volatility. Since 1999 official Japanese currency purchases seem to have had the intended short-term effect while exchange rate volatility is lower. To this end, the paper provides evidence for successful foreign exchange intervention on the same day in Japan's liquidity trap where the borderline between sterilized and unsterilized foreign exchange intervention became blurred.
Japanese Foreign Exchange Interventions, 1971-2018
Author : Takatoshi Itō
Publisher :
Page : 0 pages
File Size : 19,69 MB
Release : 2020
Category :
ISBN :
Book Description
We analyze the history of Japanese foreign exchange interventions from 1971 to 2018. First, we provide the best proxy for monthly interventions for the period from 1971 to 1990, when the intervention timings and amounts were not officially disclosed. The accuracy of the proxy is tested for the period when the statistics were disclosed after 1991. The proxy explains 99.8% of actual settlement-based interventions. Second, we examine conditions under which the Japanese monetary authorities are likely to intervene by estimating a policy reaction function, using the long-term data, spanning the period when intervention data have been officially disclosed and the period where our proxy is available. Third, we analyze intervention timings and amounts for Japan, the US, and Germany. Fourth, we present the episode of international coordination represented by the Plaza and Louvre agreements as a case study of notable interventions during the period.
Is Foreign Exchange Intervention Effective?
Author : Takatoshi Itō
Publisher :
Page : 56 pages
File Size : 46,30 MB
Release : 2002
Category : Economics
ISBN :
Book Description
This paper examines Japanese foreign exchanges interventions from April 1991 to March 2001 based on newly disclosed official data. All the yen-selling (dollar-purchasing) interventions were carried out when the yen/dollar rate was below 125, while all the yen-purchasing (dollar-selling) interventions were carried out when the yen/dollar was above 125. The Japanese monetary authorities, by buying the dollar low and selling it high, have produced large profits, in terms of realized capital gains, unrealized capital gains, and carrying (interest rate differential) profits, from interventions during the ten years. Profits amounted to 9 trillion yen (2% of GDP) in 10 years. Interventions are found to be effective in the second half of the 1990s, when daily yen/dollar exchange rate changes were regressed on various factors including interventions. The US interventions in the 1990s were always accompanied by the Japanese interventions. The joint interventions were found to be 20-50 times more effective than the Japanese unilateral interventions. Japanese interventions were found to be prompted by rapid changes in the yen/dollar rate and the deviation from the long-run mean (say, 125 yen). The interventions in the second half were less predictable than the first half.
Japanese Foreign Exchange Interventions, 1971-2018
Author : Takatoshi Itō
Publisher :
Page : 36 pages
File Size : 40,87 MB
Release : 2020
Category : Foreign exchange
ISBN :
Book Description
We analyze the history of Japanese foreign exchange interventions from 1971 to 2018. First, we provide the best proxy for monthly interventions for the period from 1971 to 1990, when the intervention timings and amounts were not officially disclosed. The accuracy of the proxy is tested for the period when the statistics were disclosed after 1991. The proxy explains 99.8% of actual settlement-based interventions. Second, we examine conditions under which the Japanese monetary authorities are likely to intervene by estimating a policy reaction function, using the long-term data, spanning the period when intervention data have been officially disclosed and the period where our proxy is available. Third, we analyze intervention timings and amounts for Japan, the US, and Germany. Fourth, we present the episode of international coordination represented by the Plaza and Louvre agreements as a case study of notable interventions during the period.
What Promotes Japan to Intervene in the Forex Market?
Author : Takatoshi Ito
Publisher :
Page : 26 pages
File Size : 22,46 MB
Release : 2004
Category : Wechselkurspolitik / Japan
ISBN :
Book Description
This paper analyzes and estimates the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange (forex) markets, using daily Japanese intervention data from April 1, 1991 to December 31, 2002. This paper is the first in estimating the reaction function of the monetary authorities in the forex market intervention with following new methods. First, a theoretical friction model is presented to describe the intervention as cost-minimizing behavior. Second, the ordered probit analysis, which is consistent with the theoretical model, was carried out to predict authorities' reaction function. The regime change from frequent, small-size intervention before June 1995 and infrequent, large-size intervention after June 1995 is established and estimations are conducted for two different regimes separately. Third, a noise-to-signal ratio is applied in selecting the optimal cutoff point in estimated ordered probit function to use the model for predicting interventions. Major findings are as follows: (1) There was a regime change in June 1995 from small-scale frequent interventions to large-scale infrequent interventions; (2) the first half of the sample period had lower friction costs than the second half of the sample period; (3) Judging from the model and data, the optimum cutoff was higher in the first half than the second half.
What Prompts Japan to Intervene in the Forex Market?
Author : Takatoshi Itō
Publisher :
Page : 26 pages
File Size : 48,81 MB
Release : 2004
Category : Economics
ISBN :
Book Description
This paper analyzes and estimates the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange (forex) markets, using daily Japanese intervention data from April 1, 1991 to December 31, 2002. This paper is the first in estimating the reaction function of the monetary authorities in the forex market intervention with following new methods. First, a theoretical friction model is presented to describe the intervention as cost-minimizing behavior. Second, the ordered probit analysis, which is consistent with the theoretical model, was carried out to predict authorities' reaction function. The regime change from frequent, small-size intervention before June 1995 and infrequent, large-size intervention after June 1995 is established and estimations are conducted for two different regimes separately. Third, a noise-to-signal ratio is applied in selecting the optimal cutoff point in estimated ordered probit function to use the model for predicting interventions. Major findings are as follows: (1) There was a regime change in June 1995 from small-scale frequent interventions to large-scale infrequent interventions; (2) the first half of the sample period had lower friction costs than the second half of the sample period; (3) Judging from the model and data, the optimum cutoff was higher in the first half than the second half
New Assessment of the Japanese Foreign Exchange Intervention
Author : Yoshihiro Kitamura
Publisher :
Page : pages
File Size : 18,55 MB
Release : 2017
Category :
ISBN :
Book Description
I propose a new variable to assess the effect of the Japanese foreign exchange (FX) intervention. The variable is the probability of an FX rate reaching one threshold before the other threshold is reached. Importantly, the probability depends on not only the level but also the trend and volatility of a current FX rate. When an intervention changes the probability into its intending direction, the intervention is effective. The notable feature of the probability is to consider both the level and volatility of an FX rate comprehensively, on those previous literature examine the effect of FX intervention separately.I process the two analysis; time series and event study one. The former uses all the time series data, in which sporadic and infrequent interventions are observed. The latter uses data only from around periods of intervention.In the time series analysis, I regresses the probability on the amounts of FX intervention. My regression result indicates that the intervention can cause a desired change in the probability.Event study processes the nearest-neighbors matching analysis. In order to implement that analysis, I compares the probability changes of the pairs. Each pair consists of two nearest-neighbors in terms of equivalent probability, and one is followed by next day's intervention and the other is not. I expect that the former neighbor shows a desired change in the probability after the intervention, and that change is larger than that of the other neighbor. The result of the matching analysis also supports the effectiveness of the Japanese intervention although the regression and matching results are against the effectiveness in some sub-samples.
