Effects of Japanese intervention on yen/dollar exchange rate volatility: a conditional jump dynamics approach
學年 98
學期 2
出版(發表)日期 2010-03-01
作品名稱 Effects of Japanese intervention on yen/dollar exchange rate volatility: a conditional jump dynamics approach
作品名稱(其他語言)
著者 Wan, Jer-yuh; Kao, Chung-wei
單位 淡江大學經濟學系
出版者 Abingdon: Routledge
著錄名稱、卷期、頁數 Applied Economics Letters 17(4), pp.367-373
摘要 This article investigates the effects of foreign exchange interventions by the Japanese authorities on the level as well as the volatility of yen/dollar exchange rate. The empirical results show interventions in the last decade were effective not only in altering the exchange rate level, but also in volatility reduction. Jump events that tended to drive yen's appreciations and volatility increases have been effectively reduced by the 'large-in-size' interventions during the last decade. Our findings are in compliance with the coordination channel that explains the effectiveness in intervention proposed by Taylor (2004) and Reitz and Taylor (2006).
關鍵字 Economics; Macroeconomics
語言 en
ISSN 1350-4851; 1466-4291
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Wan, Jer-yuh
審稿制度
國別 GBR
公開徵稿
出版型式 紙本
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