A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market

Hiroya Akiba, Yoshihiro Kitamura, Shinichi Matsuda, Ayano Sato

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This study adopts a microstructural approach to examine the effect of Japanese official intervention in the yen/dollar foreign exchange market. Our empirical results show that the number of informed traders after the series of interventions is significantly larger and the degree of the market maker's reaction to the order flow and the cost of informed trading in the post-intervention period are significantly smaller than those in the pre-intervention one. This finding implies that frequent and intense intervention promotes competition among the informed traders. We interpret these data to conclude that this competition lowers the degree of information asymmetry in the market. JEL Classification: D82; E58; F31

Original languageEnglish
Title of host publicationExchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications
PublisherNova Science Publishers, Inc.
Pages59-74
Number of pages16
ISBN (Print)9781628081640
Publication statusPublished - 2013

Fingerprint

Foreign exchange market
Informed traders
Order flow
Market makers
Costs
Empirical results
Informed trading
Asymmetry of information
JEL classification

Keywords

  • Intervention in the foreign exchange market
  • Microstructure in the foreign exchange market

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

Akiba, H., Kitamura, Y., Matsuda, S., & Sato, A. (2013). A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market. In Exchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications (pp. 59-74). Nova Science Publishers, Inc..

A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market. / Akiba, Hiroya; Kitamura, Yoshihiro; Matsuda, Shinichi; Sato, Ayano.

Exchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications. Nova Science Publishers, Inc., 2013. p. 59-74.

Research output: Chapter in Book/Report/Conference proceedingChapter

Akiba, H, Kitamura, Y, Matsuda, S & Sato, A 2013, A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market. in Exchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications. Nova Science Publishers, Inc., pp. 59-74.
Akiba H, Kitamura Y, Matsuda S, Sato A. A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market. In Exchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications. Nova Science Publishers, Inc. 2013. p. 59-74
Akiba, Hiroya ; Kitamura, Yoshihiro ; Matsuda, Shinichi ; Sato, Ayano. / A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market. Exchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications. Nova Science Publishers, Inc., 2013. pp. 59-74
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