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dc.contributor.authorMorel, Christophe
dc.contributor.authorTeiletche, Jérôme
dc.date.accessioned2014-03-26T09:17:16Z
dc.date.available2014-03-26T09:17:16Z
dc.date.issued2008-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12956
dc.language.isoenen
dc.subjectFX interventionsen
dc.subjectRisk-neutral densityen
dc.subjectEvent studyen
dc.subjectBootstrapen
dc.subjectBank of Japanen
dc.subject.ddc337en
dc.subject.classificationjelF31en
dc.subject.classificationjelF33en
dc.subject.classificationjelF42en
dc.subject.classificationjelG14en
dc.titleDo interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on over-the-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.en
dc.relation.isversionofjnlnameJournal of Empirical Finance
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2008-03
dc.relation.isversionofjnlpages211-231en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jempfin.2006.07.005en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie internationaleen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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