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Characteristic market behaviors caused by intervention in a foreign exchange market

In: Practical Fruits of Econophysics

Author

Listed:
  • Takayuki Mizuno

    (Tokyo Institute of Technology)

  • Yukiko Umeno Saito

    (Fujitsu Research Institute Inc.)

  • Tsutomu Watanabe

    (Fujitsu Research Institute Inc.
    Hitotsubashi University)

  • Hideki Takayasu

    (Sony Computer Science Laboratories)

Abstract

Summary In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the averaged rate about 1 yen per 1 dollar in an hour, and the rate change distribution becomes asymmetric for a few hours.

Suggested Citation

  • Takayuki Mizuno & Yukiko Umeno Saito & Tsutomu Watanabe & Hideki Takayasu, 2006. "Characteristic market behaviors caused by intervention in a foreign exchange market," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 33-37, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_5
    DOI: 10.1007/4-431-28915-1_5
    as

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