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An analysis of Japanese foreign exchange interventions, 1991-2002

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Abstract

The effectiveness of Japanese interventions over the past decade depended in large part on the frequency and size of the transactions. Prior to June 1995, Japanese interventions only had value as a forecast that the previous day's yen appreciation or depreciation would moderate during the current day. After June 1995, Japanese purchases of dollars had value as a forecast that the yen would depreciate. Probit analysis confirms that large, infrequent interventions, which characterized the later period, had a higher likelihood of success than small, frequent interventions.

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  • Alain P. Chaboud & Owen F. Humpage, 2003. "An analysis of Japanese foreign exchange interventions, 1991-2002," Working Papers (Old Series) 0309, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:0309
    DOI: 10.26509/frbc-wp-200309
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    References listed on IDEAS

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    10. Mr. Ramana Ramaswamy & Hossein Samiei, 2000. "The Yen-Dollar Rate: Have Interventions Mattered?," IMF Working Papers 2000/095, International Monetary Fund.
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    Cited by:

    1. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
    2. repec:dau:papers:123456789/12956 is not listed on IDEAS
    3. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2009. "A brief empirical history of U.S. foreign-exchange intervention: 1973-1995," Working Papers (Old Series) 0903, Federal Reserve Bank of Cleveland.

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    Foreign exchange - Japan;

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