Year: 2017
Author: Chortareas, Georgios, Jiang, Ying
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 1 : pp. 25–36
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.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.50.1.25
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 1 : pp. 25–36
Published online: 2017-03
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 12
Keywords: F31 G15 Foreign Exchange Intervention Exchange Rate Volatility Regime Switching GARCH
Author Details
| Section Title | Page | Action | Price |
|---|---|---|---|
| Georgios Chortareas / Ying Jiang: Bank of Japan Interventions and the Volatility of the Dollar / Yen Exchange Rate | 1 |