文章基本信息

标题：A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
本地全文：下载
作者：Eric Hillebrand ; Gunther Schnabl
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized intervention has a higher probability of success than sterilized intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of Japanese foreign exchange intervention. We find a changing impact of Japanese foreign exchange intervention on exchange rate volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized.
关键词：Japan; Foreign Exchange Intervention; Exchange Rate Volatility; GARCH;Change Point Detection; Structural Breaks.