کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5086293 1375165 2012 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions
چکیده انگلیسی

In this empirical study, we apply the Tobit-GARCH model to investigate the intervention function of the Bank of Japan (BoJ) in the JPY/USD exchange market. The proposed model has the advantage of handling intervention data with both a majority of zero observations and conditional heteroscedasticity. Thus, the model provides better estimates of the intervention function than such conventional models as the standard Tobit, OLS, Probit, and traditional GARCH models. Results show that the intervention behavior of the BoJ is affected more by its half-year long-term target than its previous-day short-term target, and the BoJ generally follows the policy of “leaning against the wind”. The US-JP interest rate spread was never a trigger of BoJ's interventions during the sample period. The BoJ did not respond to the domestic stock index by the sales-intervention of the JPY, even when the economy was sluggish during the lost decade (1992-2004). However, its intervention behavior was significantly affected by U.S. interventions and was significantly persistent across some of the periods.

► The Tobit-GARCH model is used to investigate the intervention function of the central bank of Japan. ► The intervention behavior is affected more by its half-year long-term target than its previous-day short-term target. ► The center bank of Japan generally follows the policy of “leaning against the wind”.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 24, Issue 4, December 2012, Pages 274-282
نویسندگان
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