Volatility and spillover effects of yen interventions

Georgios Chortareas, Ying Jiang, John C. Nankervis

Research output: Journal PublicationArticlepeer-review

5 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 languageEnglish
Pages (from-to)671-689
Number of pages19
JournalReview of International Economics
Volume21
Issue number4
DOIs
Publication statusPublished - Sep 2013

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Development

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