Volatility and spillover effects of yen interventions

Georgios Chortareas; Ying Jiang; John C. Nankervis

doi:10.1111/roie.12063

Volatility and spillover effects of yen interventions

Georgios Chortareas, Ying Jiang, John C. Nankervis

Department of Finance, Accounting and Economics

Research output: Journal Publication › Article › peer-review

6 Citations (Scopus)

Abstract

We consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15-minute data during the period 2000-2004 and employ multivariate generalized autoregressive conditional heteroskedasticity (GARCH) modeling and quartile plots of intraday volatility to analyze the intraday effects of the BoJ interventions on exchange rate volatility. The results indicate that the BoJ interventions decrease daily volatility of the USD/JPY exchange rate but increase the volatility of the euro/JPY series. On intervention days, the intraday volatility has different patterns to those on non-intervention days.

Original language	English
Pages (from-to)	671-689
Number of pages	19
Journal	Review of International Economics
Volume	21
Issue number	4
DOIs	https://doi.org/10.1111/roie.12063
Publication status	Published - Sept 2013

ASJC Scopus subject areas

Geography, Planning and Development
Development

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10.1111/roie.12063

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abstract = "We consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15-minute data during the period 2000-2004 and employ multivariate generalized autoregressive conditional heteroskedasticity (GARCH) modeling and quartile plots of intraday volatility to analyze the intraday effects of the BoJ interventions on exchange rate volatility. The results indicate that the BoJ interventions decrease daily volatility of the USD/JPY exchange rate but increase the volatility of the euro/JPY series. On intervention days, the intraday volatility has different patterns to those on non-intervention days.",

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AU - Jiang, Ying

AU - Nankervis, John C.

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N2 - We consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15-minute data during the period 2000-2004 and employ multivariate generalized autoregressive conditional heteroskedasticity (GARCH) modeling and quartile plots of intraday volatility to analyze the intraday effects of the BoJ interventions on exchange rate volatility. The results indicate that the BoJ interventions decrease daily volatility of the USD/JPY exchange rate but increase the volatility of the euro/JPY series. On intervention days, the intraday volatility has different patterns to those on non-intervention days.

AB - We consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15-minute data during the period 2000-2004 and employ multivariate generalized autoregressive conditional heteroskedasticity (GARCH) modeling and quartile plots of intraday volatility to analyze the intraday effects of the BoJ interventions on exchange rate volatility. The results indicate that the BoJ interventions decrease daily volatility of the USD/JPY exchange rate but increase the volatility of the euro/JPY series. On intervention days, the intraday volatility has different patterns to those on non-intervention days.

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ER -

Volatility and spillover effects of yen interventions

Abstract

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