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Evaluating foreign exchange market intervention : self-selection, counterfactuals and average treatment effects

Fatum, Rasmus; Hutchison, Michael M. - 2006

2004. -- Foreign exchange intervention ; Bank of Japan ; self-selection ; matching methods … determine what would have occurred in the absence of intervention and we introduce the method of propensity score matching to … estimate the ATE for daily Bank of Japan intervention over the January 1999 to March 2004 period. This sample encompasses a …

Persistent link: https://www.econbiz.de/10003855360

Evaluating Foreign Exchange Market Intervention : Self-Selection, Counterfactuals and Average Treatment Effects

Fatum, Rasmus - 2013

propensity score matching to estimate the average treatment effect (ATE) of intervention. To derive the propensity scores we … intervention in Japan over the January 1999 to March 2004 period. This sample encompasses a remarkable variation in intervention …

Persistent link: https://www.econbiz.de/10012711695

Central Bank Interventions and Implied Exchange Rate Correlations

Nikkinen, Jussi - 2011

This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante …

Persistent link: https://www.econbiz.de/10013131457

The Effectiveness of Central Bank Intervention through the Noise Trading Channel : Evidence from the Australian and the Japan Case

Abderrazak, Ben Maatoug - 2009

secret. We conduct an empirical study for the Reserve Bank of Australia (RBA) and the Bank of Japan (BoJ). The interventions …

Persistent link: https://www.econbiz.de/10013153364

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

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/10013317518

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous …

Persistent link: https://www.econbiz.de/10013317566

Central bank intervention in the inflation targeting

Krušković, Borivoje D. - In: Journal of central banking theory and practice 11 (2022) 1, pp. 67-85

This paper analyses the impact of central bank interven-tions in the inflation targeting regime. The results of empirical stud-ies in this paper show if there is a shock of the exchange rate, which would lead to depreciation of the exchange rate, a central bank may decide to mush instability on...

Persistent link: https://www.econbiz.de/10012805926

The Effects of Foreign Exchange Market Interventions of the Bank of Japan on the $/Yen Exchange Rate Volatility

Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002

Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993 - 2000 that were …

Persistent link: https://www.econbiz.de/10014117200

How Transparent is the Intervention Exchange Rate Policy of the Bank of Japan?

Gnabo, Jean-Yves; Lecourt, Christelle - 2005

exchange rate intervention policy of the Bank of Japan during the period 1991-2004. As suggested by Enoch (1998), we … policy on the market's perceptions and the rumours that it can bring out. We find that the transparency of the Bank of Japan …

Persistent link: https://www.econbiz.de/10014061545

The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection

Hillebrand, Eric T.; Schnabl, Gunther - 2005

show that the results are highly dependent on the time period. From 1991 to 1998 Japan's official currency purchases were … successful foreign exchange intervention on the same day in Japan's liquidity trap where the borderline between sterilized and …

Persistent link: https://www.econbiz.de/10014067235