کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003527 1481797 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention
ترجمه فارسی عنوان
آیا مدل ساختار ساده، زمان مداخله FX را نشان می دهد؟ تجزیه و تحلیل یک روزه از مداخله FX ژاپنی
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی


• I utilize a regime-switching model to detect the time of the FX intervention.
• The estimated time is consistent with the official starting time.
• The intervention brings the damping effect that private order flows convey no information.
• The first intervention of a sequence has a larger impact than subsequent ones.

Using tick data of the USD/JPY rate, I propose the method to detect the time of the FX intervention. I use the simple microstructure model and assume that the FX intervention causes regime-switching in the microstructure of the USD/JPY market, changes in adverse selection, and inventory effect. The time of the intervention is estimated endogenously by the Markov-switching model, and the actual starting time is well estimated. I also find that no market orders, except a large U.S. dollar purchase, convey any private information during the period of the intervention.

Frequency of state 1 (regime of FX intervention) in the Asian segment.Figure optionsDownload as PowerPoint slide

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 36, January 2016, Pages 436–446
نویسندگان
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