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Foreign-exchange intervention strategies and market expectations: insights from Japan

Gnabo, Jean-Yves; Teiletche, Jérôme (2009), Foreign-exchange intervention strategies and market expectations: insights from Japan, Journal of International Financial Markets, Institutions and Money, 19, 3, p. 432-446. http://dx.doi.org/10.1016/j.intfin.2008.05.002

Type
Article accepté pour publication ou publié
Date
2009-05
Journal name
Journal of International Financial Markets, Institutions and Money
Volume
19
Number
3
Publisher
Elsevier
Pages
432-446
Publication identifier
http://dx.doi.org/10.1016/j.intfin.2008.05.002
Metadata
Show full item record
Author(s)
Gnabo, Jean-Yves
Teiletche, Jérôme
Abstract (EN)
This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be designed to have the greatest impact? Using Japanese data over 1992–2004 and an event-study approach, we estimate the effect of different strategies on the USD/JPY exchange-rate risk-neutral density. Overall, transparent policies (public and oral interventions) appear to be the most effective. Moreover, the effect is greater when policies involve a financial cost (risk) suggesting that simple announcements can only be deemed as an imperfect substitute for actual interventions.
Subjects / Keywords
Marchés financiers internationaux; Risk-neutral; Communication policy; Event studies; Central bank interventions; Banques centrales; International finance
JEL
F31 - Foreign Exchange
E44 - Financial Markets and the Macroeconomy
E58 - Central Banks and Their Policies
G15 - International Financial Markets
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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