Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention

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Using tick data of the USD/JPY rate, I propose the method to detect the time of the FX intervention. I use the simple microstructure model and assume that the FX intervention causes regime-switching in the microstructure of the USD/JPY market, changes in adverse selection, and inventory effect. The time of the intervention is estimated endogenously by the Markov-switching model, and the actual starting time is well estimated. I also find that no market orders, except a large U.S. dollar purchase, convey any private information during the period of the intervention.

Original languageEnglish
Pages (from-to)436-446
Number of pages11
JournalResearch in International Business and Finance
Publication statusPublished - 2016 Jan 1



  • Exchange rates
  • High frequency data
  • Intervention
  • Markov-switching model
  • Microstructure

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

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