A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data

研究成果: Article査読

3 被引用数 (Scopus)

抄録

I propose a new methodology to assess the effect of foreign exchange (FX) intervention, based on the probability of an FX rate reaching. The variable is the probability of an FX rate reaching a particular threshold before reaching another. Importantly, the probability depends on not only the level, but also the trend and volatility of a current FX rate. When an intervention changes the probability in a desired direction, the intervention is effective. The notable feature of the probability is that it considers both the level and volatility of an FX rate comprehensively, while previous studies have examined these effects of FX intervention separately. Empirical results based on regression and nearest-neighbor analyses applied to Japanese data indicate that publicity and size are significant in the effectiveness of intervention.

本文言語English
ページ(範囲)32-46
ページ数15
ジャーナルJournal of International Money and Finance
75
DOI
出版ステータスPublished - 2017 7 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

フィンガープリント

「A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル