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Japanese foreign exchange intervention and the yen-to-dollar exchange rate : a simultaneous equations approach using realized volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - In: Journal of international financial markets, … 19 (2009) 3, pp. 490-505

Persistent link: https://www.econbiz.de/10003855873

Japanese foreign exchange intervention and the Yen/Dollar exchange rate : a simultaneous equations approach using realized volatility

Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006

Persistent link: https://www.econbiz.de/10003364632

Japanese foreign exchange intervention and the Yen/Dollar exchange rate : a simultaneous equations approach using realized volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...

Persistent link: https://www.econbiz.de/10003366054

Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate : A Simultaneous Equations Approach Using Realized Volatility

Hillebrand, Eric T.; Schnabl, Gunther; Ulu, Yasemin - 2021

Persistent link: https://www.econbiz.de/10013317518