@inbook{e15c225155e544a08384b6f5f726f548,
title = "Interventions in the Yen-Dollar spot market: A story of price, volatility and volume",
abstract = "We test the effectiveness of Bank of Japan (BOJ)'s foreign exchange interventions on conditional first and second moments of exchange rate returns and traded volumes, using a bivariate EGARCH model of the Yen/USD market from 5-13-1991 to 3-30-2004. We also estimate a friction model of BOJ's intervention reaction function based on reducing short-term market disorderliness and supplementing domestic monetary policy. Important finding of this study are that: (i) we find ineffectiveness of BOJ interventions in influencing exchange rate trends pre-1995, in general, but effectiveness post-1995; (ii) FED intervention amplified the effectiveness of the BOJ transactions; (iii) interventions amplified market volatility and volumes through a 'learning by trading' process; (iv) BOJ's interventions were based on 'leaning against the wind' motivations on the exchange rate trend and volumes; and (v) BOJ interventions were vigorously used in support of domestic monetary policy objectives post-1995. Though some of our findings confirm recent studies, our analysis goes deeper to provide new findings with important implications for central banks and foreign exchange market participants.",
keywords = "Bank of Japan, Exchange rate volatility, Foreign exchange intervention, Trade volume",
author = "Kim, {Suk Joong} and Jeffrey Sheen",
note = "Originally published in Journal of Banking and Finance, 2006, 30(11), 3191–3214.",
year = "2018",
month = jan,
doi = "10.1142/9789813223585_0003",
language = "English",
isbn = "9789813223578",
series = "World scientific studies in international economics",
publisher = "World Scientific Publishing",
pages = "73--106",
editor = "Suk-Joong Kim",
booktitle = "Information spillovers and market integration in international finance",
address = "Singapore",
}