Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9725873 | International Review of Economics & Finance | 2005 | 13 Pages |
Abstract
In previous empirical work, the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility has mainly been analyzed by using data on press reports of BoJ interventions. We use official intervention data for the period 1993-2000 that were released only recently by the BoJ. We find a positive link between the interventions of the BoJ and the volatility of the yen/U.S. dollar exchange rate. We also find that those BoJ interventions that were not reported in the financial press were positively correlated with exchange rate volatility.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Michael Frenkel, Christian Pierdzioch, Georg Stadtmann,