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

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)436-446
ページ数11
ジャーナルResearch in International Business and Finance
36
DOI
出版ステータスPublished - 2016 1 1

ASJC Scopus subject areas

  • ビジネス、管理および会計(その他)
  • 財務

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