Abstract
We analyse the impact of Bank of Japan’s (BoJ) intervention on the volatility of the USD JPY exchange rates under a regime switching framework. We find that the Yen intervention decreases the volatility, and the impact is only significant when market volatility is low.
| Original language | English |
|---|---|
| Pages (from-to) | 25-36 |
| Number of pages | 12 |
| Journal | Credit and Capital Markets |
| Volume | 50 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2017 |
| Externally published | Yes |
Keywords
- Exchange Rate Volatility
- Foreign Exchange Intervention
- Regime Switching GARCH
ASJC Scopus subject areas
- Business, Management and Accounting (miscellaneous)
- Economics, Econometrics and Finance (miscellaneous)
- Law