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

Hiroya Akiba*, Yoshihiro Kitamura, Shinichi Matsuda, Ayano Sato

*この研究の対応する著者

研究成果: Chapter

抄録

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

本文言語English
ホスト出版物のタイトルExchange Rates in Developed and Emerging Markets
ホスト出版物のサブタイトルPractices, Challenges and Economic Implications
出版社Nova Science Publishers, Inc.
ページ59-74
ページ数16
ISBN(印刷版)9781628081640
出版ステータスPublished - 2013 12 1

ASJC Scopus subject areas

  • 経済学、計量経済学および金融学(全般)

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