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Effects of Japanese intervention on yen/dollar exchange rate volatility: a conditional jump dynamics approach. (2010). Kao, Chung-Wei ; Wan, Jer-Yuh .
In: Applied Economics Letters.
RePEc:taf:apeclt:v:17:y:2010:i:4:p:367-373.

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  1. A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data. (2017). Kitamura, Yoshihiro.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:75:y:2017:i:c:p:32-46.

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References

References cited by this document

  1. Fatum, R. and Hutchison, M. (2002) Effectiveness of official daily foreign exchange market intervention operations in Japan, Working paper 03-01, Center for Pacific Basin Monetary and Economic Studies, Economic Research Department, Federal Reserve Bank of San Francisco

  2. Hillebrand, E. and Schnabl, G. (2003) The effects of Japanese foreign exchange intervention GARCH estimation and change point detection,mimeo

  3. Ito. T. (2002) Is foreign exchange intervention effective? The Japanese experiences in the 1990s, Working paper 8914, NBER

  4. Reitz, S. and Taylor, M. (2006) The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis, Discussion paper series 1: Economic Studies 2006, No. 8, Deutsche Bundesbank, Research Centre

  5. Wan, J.Y. and Kao, C.W. (2007) The euro and pound volatility dynamics: an investigation from conditional jump process,Research in International Business and Finance, doi:10.1016/j.ribaf.2007.05.002
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Do central bank foreign exchange interventions affect market expectations?. (2017). Araujo, Gustavo ; Machado, Jos Valentim ; Moura, Jaqueline Terra.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:31:p:3017-3031.

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  2. As Atuações Cambiais do Banco Central Afetam as Expectativas de Mercado?. (2015). Araujo, Gustavo ; Moura, Jaqueline Terra ; Machado, Jose Valentim.
    In: Working Papers Series.
    RePEc:bcb:wpaper:393.

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  3. .

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  4. Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run. (2013). Kühl, Michael ; Beckmann, Joscha ; Belke, Ansgar ; Kuhl, Michael.
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:428.

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  5. A note on approximating distribution functions of cusum and cusumsq tests. (2011). Reza, Habibi .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:17:y:2011:i:1:p:1-10:n:4.

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  6. Effects of Japanese intervention on yen/dollar exchange rate volatility: a conditional jump dynamics approach. (2010). Kao, Chung-Wei ; Wan, Jer-Yuh .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:17:y:2010:i:4:p:367-373.

    Full description at Econpapers || Download paper

  7. Distribution Approximations for Cusum and Cusumsq Statistics. (2010). Habibi, Reza .
    In: Statistics in Transition new series.
    RePEc:csb:stintr:v:11:y:2010:i:3:p:585-596.

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  8. Foreign Exchange Intervention and Exchange Rate Volatility in Peru. (2009). Rodríguez, Gabriel ; Humala, Alberto ; Rodriguez, Gabriel.
    In: Working Papers.
    RePEc:rbp:wpaper:2009-008.

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  9. Central bank authorities beliefs about foreign exchange intervention. (2008). Neely, Christopher.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:1:p:1-25.

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  10. Do interventions in foreign exchange markets modify investors expectations? The experience of Japan between 1992 and 2004. (2008). Morel, Christophe ; Teiletche, Jerome .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:211-231.

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  11. Central bank intervention, threshold effects and asymmetric volatility: Evidence from the Japanese yen-US dollar foreign exchange market. (2008). Suardi, Sandy.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:4:p:628-642.

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  12. Do interventions in foreign exchange markets modify investors expectations? The experience of Japan between 1992 and 2004. (2008). Morel, Christophe ; Teiletche, Jerome .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/12956.

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  13. Central bank authorities’ beliefs about foreign exchange intervention. (2007). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-045.

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  14. What prompts Japan to intervene in the Forex market? A new approach to a reaction function. (2007). Yabu, Tomoyoshi ; Ito, Takatoshi.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:2:p:193-212.

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  15. Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan. (2007). Kim, Suk-Joong.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:17:y:2007:i:4:p:341-360.

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  16. Effects of the Bank of Japans intervention on yen/dollar exchange rate volatility. (2006). Harada, Kimie ; Watanabe, Toshiaki .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:20:y:2006:i:1:p:99-111.

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  17. International Capital Markets and Informal Dollar Standards in the CIS and East Asia. (2005). Schnabl, Gunther.
    In: HWWA Discussion Papers.
    RePEc:zbw:hwwadp:26192.

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  18. International Capital Markets, Macroeconomic Stability, and Exchange Rate Stabilization in the CIS and East Asia. (2005). Schnabl, Gunther.
    In: International Finance.
    RePEc:wpa:wuwpif:0410009.

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  19. Foreign Exchange Intervention and Monetary Policy in Japan, 2003-04. (2005). Hutchison, Michael ; Fatum, Rasmus.
    In: EPRU Working Paper Series.
    RePEc:kud:epruwp:05-05.

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  20. An analysis of recent studies of the effect of foreign exchange intervention. (2005). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-030.

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  21. An analysis of recent studies of the effect of foreign exchange intervention. (2005). Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:nov:p:685-718:n:v.87no.6.

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  22. The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility. (2005). Pierdzioch, Christian ; Stadtmann, Georg ; Frenkel, Michael.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:14:y:2005:i:1:p:27-39.

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  23. THE EXCHANGE RATE IN THE JAPANESE ECONOMY: THE PAST, PUZZLES, AND PROSPECTS. (2005). Ito, Takatoshi.
    In: The Japanese Economic Review.
    RePEc:bla:jecrev:v:56:y:2005:i:1:p:1-38.

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  24. International Capital Markets and Informal Dollar Standards in the CIS and East Asia. (2005). Schnabl, Gunther.
    In: Discussion Paper Series.
    RePEc:ags:hwwadp:26192.

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  25. The Return to Soft Dollar Pegging in East Asia. Mitigating Conflicted Virtue. (2004). Schnabl, Gunther ; Ronald Mc Kinnon, ; McKinnon, Ronald.
    In: International Finance.
    RePEc:wpa:wuwpif:0406007.

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  26. On the determinants of “small” and “large” foreign exchange market interventions: The case of the Japanese interventions in the 1990s. (2004). Pierdzioch, Christian ; Stadtmann, Georg ; Frenkel, Michael.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:13:y:2004:i:3:p:231-243.

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  27. On the determinants of small and large foreign exchange market interventions: The case of the Japanese interventions in the 1990s. (2004). Pierdzioch, Christian ; Stadtmann, Georg ; Frenkel, Michael.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:13:y:2004:i:3:p:231-243.

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  28. The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan. (2002). Pierdzioch, Christian ; Frenkel, Michael ; Stadtmann, Georg.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1108.

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