What prompts Japan to intervene in the Forex market? A new approach to a reaction function

Takatoshi Ito, Tomoyoshi Yabu

研究成果: Article査読

71 被引用数 (Scopus)

抄録

This paper estimates and analyzes the reaction function of Japanese intervention in the foreign exchange (Forex) markets, using daily Japanese intervention data from April 1, 1991 to December 31, 2002. A theoretical friction model is adopted to describe the intervention as cost-minimizing behavior. An ordered probit model, consistent with the theoretical model, is employed to estimate authorities' reaction function. A noise-to-signal ratio is applied in selecting the optimal cutoff point in estimated ordered probit function. Major findings are as follows: (1) A regime change in June 1995 from small-scale frequent interventions to large-scale infrequent interventions is detected; (2) the optimum cutoff is higher in the first half than the second half.

本文言語English
ページ(範囲)193-212
ページ数20
ジャーナルJournal of International Money and Finance
26
2
DOI
出版ステータスPublished - 2007 3月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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