Chen, Ho-Chyuan; Chang, Kuang-Liang; Yu, Shih-Ti - In: Japan and the World Economy 24 (2012) 4, pp. 274-282
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...
