A new approach to the effect of intervention frequency on the foreign exchange market: evidence from Japan

Utsunomiya, Tohru

doi:10.1080/00036846.2012.730136

Cited by 5 publications

(4 citation statements)

References 29 publications

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“…The intervention is not only effective in changing the exchange level, but the contemporaneous effect had a reverse sign. Park (2011) and Utsunomiya (2012) confirmed the presence of asymmetric volatility in the foreign exchange markets. For asymmetry, Suardi and Chang (2012) showed the importance of the threshold effect in the analysis of the effects of intervention because of the presence of asymmetry in the foreign exchange market.…”

Section: David Publishing D Recent Experience Of the Effects Of Intermentioning

confidence: 53%

Recent Experience of the Effects of Intervention on Exchange Rates

Yutaka¹,

Kurihara²

2013

CBR

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Recently, foreign exchange rates have been highly volatile all over the world. This article reports on an empirical examination of the effectiveness of foreign exchange market intervention in Tokyo foreign exchange market. In Japan, intervention in the foreign exchange market has occurred frequently and largely. In 2010, exchange rates fluctuated greatly, and the Japanese yen appreciated greatly against other foreign currencies. The Bank of Japan (BOJ) conducted an intervention in the foreign exchange market and bought massive USD to weaken the yen. They are expected to prevent too much appreciation of the yen, to promote export, and expansion of the economy. Recent foreign exchange market intervention in Tokyo has been effective in preventing the Japanese yen from appreciating against other currencies. Also, unsterilization has had a positive effect on depreciation of the yen. Moreover, news announcements by the Bank of Japan (BOJ) has led to depreciation of the yen. Effective announcements would increase the effects on markets. Sterilization in intervention and market communication are both taken into account in this article. The BOJ's news announcements seem to convey to markets adequately and communication between the bank and markets functions well. Moreover, the past exchange rate (i.e., the signaling effect) also is important to the movement of exchange rates. On the other hand, portfolio channel is not found.

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Section: David Publishing D Recent Experience Of the Effects Of Intermentioning

confidence: 53%

Recent Experience of the Effects of Intervention on Exchange Rates

Yutaka¹,

Kurihara²

2013

CBR

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“…For these we used a 2.58 t-statistic threshold instead. Additionally, some studies claimed statistical significance when t-statistics were lower than 1.65 (Utsunomiya, 2013, Broto, 2013, Castrén, 2004).…”

Section: Web-searchmentioning

confidence: 99%

The effectiveness of FX interventions: A meta-analysis

Arango-Lozano¹,

Menkhoff

Rodriguez-Novoa³

et al. 2024

Journal of Financial Stability

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There is ample empirical literature centering on the effectiveness of foreign exchange intervention (FXI). Given the mix of objectives and country-heterogeneity, the general lack of consensus thus far is no surprise. We shed light on this debate by conducting the first comprehensive meta-analysis in the FXI literature, with 279 reported effects that stem from 74 distinct empirical studies. We cover estimations conducted in 19 countries across five decades. Overall, our meta-survey reports an average depreciation of domestic currency of 1% and a reduction of exchange rate volatility of 0.6%, in response to a $1 billion US dollar purchase. Results are qualitatively confirmed but smaller in size under fixed and random-effect estimations. When narrowing in on different economic factors, we find that effects are magnified for cases consistent with the monetary trilemma (greater if financial openness and monetary independence are low). Effects are also larger in emerging than advanced economies, when banking crises remain mild, and when interventions are large in size and are announced.

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“…Fatum also shows that BOC intervention appears moderately effective in moving the Canadian dollar/US dollar exchange rate over a number of days following the intervention events. Utsunomiya (2013) analyses the effect of intervention frequency on the yen/dollar market from April 1991 to December 2005 by using nonlinear methodology. The study estimates the effectiveness of intervention and its frequency using the double threshold GARCH model and concludes that high frequency intervention stabilizes the exchange rate volatility especially when the yen appreciates.…”

Section: Literaturementioning

confidence: 99%

Foreign Exchange Intervention and Exchange Rate Volatility: Evidence from Turkey

Tümtürk¹

2019

Anadolu Üniversitesi Sosyal Bilimler Dergisi

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This paper investigates the effects of foreign exchange intervention by the Central Bank of the Republic of Turkey on the behavior of exchange rates during the float period starting with 2001 crisis. Even though the bank is apparently quite willing to intervene the foreign exchange market during the float period, the results suggest that intervention policies are completely ineffective. More specifically, the purchases operations do not have any statistically significant impact on the exchange rate returns and volatility while the central bank intervention sales exert an incorrectly signed effect on the levels of exchange rates and tend to raise volatility of exchange rates returns. Hence, the bank should avoid intervening foreign currency markets. Additionally, the tightening monetary policy in the form of rising the short run interest rates is effective for positive exchange rates returns; but not for dampening the volatility.

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A new approach to the effect of intervention frequency on the foreign exchange market: evidence from Japan

Cited by 5 publications

References 29 publications

Recent Experience of the Effects of Intervention on Exchange Rates

Recent Experience of the Effects of Intervention on Exchange Rates

The effectiveness of FX interventions: A meta-analysis

Foreign Exchange Intervention and Exchange Rate Volatility: Evidence from Turkey

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