Interventions in the Yen-dollar spot market: A story of price, volatility and volume

Journal of Banking and Finance

Volumn 30, Issue 11, 2006, Pages 3191-3214

  Kim, Suk Joong ^a   Sheen, Jeffrey ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Bank of Japan; Exchange rate volatility; Foreign exchange intervention; Trade volume

Indexed keywords

EID: 33749609737     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.12.005     Document Type: Article

References (51)

1. Admati A., and Pfleiderer P. A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1 (1988) 3-40
2. Almekinders G.J., and Eijffinger S.C.W. A friction model of daily Bundesbank and Federal Reserve intervention. Journal of Banking and Finance 20 (1996) 1365-1380
3. Andersen T.G. Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance 51 (1996) 169-204
4. Bacchetta, P., Wincoop, E.v., 2003. Can information heterogeneity explain the exchange rate determination puzzle? NBER working paper 9498.
5. Baillie R.T., and Bollerslev T. The message in daily exchange rates: A conditional-variance tale. Journal of Business and Economic Statistics 7 (1989) 297-305
6. Baillie R.T., and Osterberg W.P. Why do central banks intervene?. Journal of International Money and Finance 16 6 (1997) 909-919
7. Beine M. Conditional covariances and direct central bank interventions in the foreign exchange markets. Journal of Banking and Finance 28 (2004) 1385-1411
8. Beine, M., Bernal, O., 2004. Why do central banks intervene secretly? SSRN working paper.
9. Bessembinder H. Bid-ask spreads in the interbank foreign exchange markets. Journal of Financial Economics 35 (1994) 317-348
10. BIS, 2004. Triennial central bank survey of foreign exchange and derivatives market activity in April 2004. September.
11. BIS, 2005. Triennial central bank survey of foreign exchange and derivatives market activity in March 2005. Available from: .
12. Blume L.E., Easley D., and O'Hara M. Market statistics and technical analysis: The role of volume. Journal of Finance 49 (1994) 153-182
13. BOJ, 2000. Outline of the BOJs foreign exchange intervention operations. Available from: .
14. Bollerslev T. A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69 (1987) 542-547
15. Bollerslev T. Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics 72 (1990) 498-505
16. Chaboud, A.P., Humpage, O.F., 2003. An analysis of Japanese foreign exchange interventions, 1991-2002. Federal Reserve Bank of Cleveland working paper 0309.
17. Clark P. A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41 (1973) 135-155
18. Dominguez K.M. Central bank intervention and exchange rate volatility. Journal of International Money and Finance 17 (1998) 161-190
19. Dominguez K.M.E. The market microstructure of central bank intervention. Journal of International Economics 59 (2003) 25-45
20. Dominguez K.M., and Frankel J.A. Does foreign exchange rate intervention work?. Institute for International Economics (1993)
21. Easley D., and O'Hara M. Price, trade size, and information in securities markets. Journal of Financial Economics 19 (1987) 69-90
22. Epps T., and Epps M. The stochastic dependence of security prices and transaction volumes: Implications for the mixture of distributions hypothesis. Econometrica 44 (1976) 305-321
23. Evans M., and Lyons R. Time-varying liquidity in foreign exchange. Journal of Monetary Economics 49 (2002) 1025-1051
24. Fatum R., and Hutchison M. Is intervention a signal of future monetary policy? Evidence from the federal funds futures market. Journal of Money, Credit, and Banking 31 (1999) 54-69
25. Fatum, R., Hutchison, M., 2003. Effectiveness of official daily foreign exchange market intervention operations in Japan. National Bureau of Economic Research Inc. NBER working papers 9648.
26. Frenkel M., Pierdzioch C., and Stadtmann G. On the determinants of "Small" and "Large" foreign exchange market interventions: The case of the Japanese interventions in the 1990s. Review of Financial Economics 13 (2004) 231-243
27. Frenkel M., Pierdzioch C., and Stadtmann G. The effects of japanese foreign exchange market interventions on the Yen/US dollar exchange rate volatility. International Review of Economics and Finance 14 (2005) 27-39
28. Glassman D. Exchange rate risk and transaction costs: Evidence from bid-ask spreads. Journal of International Money and Finance 6 (1987) 479-490
29. Glosten L., and Milgrom P. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 13 (1985) 71-100
30. Hamilton J. Time Series Analysis (1994), Princeton University Press, Princeton
31. Hartmann P. Trading volumes and transaction costs in the foreign exchange market. Evidence from daily dollar-Yen spot data. Journal of Banking and Finance 23 (1999) 801-824
32. Hiemstra C., and Jones J.D. Testing for linear and non-linear granger causality in the stock price-volume relation. Journal of Finance (1994) 1639-1664
33. Hsieh D.A. Modeling heteroscedasticity in daily foreign-exchange rates. Journal of Business and Economic Statistics 7 (1989) 307-317
34. Ito, T., 2002. Is foreign exchange intervention effective? The Japanese experiences in the 1990s. National Bureau of Economic Research Inc. NBER working papers 8914.
35. Ito, T., Yabu, T., 2004. What promotes Japan to intervene in the forex market? A new approach to a reaction function. NBER working paper 10456.
36. Kearns J., and Rigobon R. Identifying the efficacy of central bank interventions: Evidence from Australia and Japan. Journal of International Economics 66 (2005) 31-48
37. Kim S.-J. Do macro-economic news announcements affect the volatility of foreign exchange rates? Some evidence from Australia. Applied Economics 31 (1999) 1511-1521
38. Kim S.-J., and Sheen J.R. The determinants of foreign exchange intervention by central banks: Evidence from Australia. Journal of International Money and Finance 21 (2002) 619-649
39. Kim S.-J., Kortian T., and Sheen J.R. Central bank intervention and exchange rate volatility? Australian evidence. Journal of International Financial Markets, Institutions and Money 10 (2000) 381-405
40. Lamoureux C., and Lastrapes W. Heteroscedasticity in stock return data: Volume versus GARCH effects. Journal of Finance 45 (1990) 221-229
41. LeBaron B. Technical trading rule profitability and foreign exchange intervention. Journal of International Economics 49 (1999) 125-143
42. Lecourt, C., Raymond, H., 2003. Central bank interventions in the light of survey results. Available from: .
43. Lewis K.K. Are foreign exchange intervention and monetary policy related, and does it really matter?. Journal of Business 68 (1995) 185-214
44. Lyons R. The Microstructure Approach to Exchange Rates (2001), MIT Press, Boston
45. McKenzie M. The economics of exchange rate volatility asymmetry. International Journal of Finance and Economics 7 (2002) 247-260
46. Nagayasu J. The effectiveness of Japanese foreign exchange interventions during 1991-2001. Economics Letters 84 (2004) 377-381
47. Neely C.J. The practice of central bank intervention: Looking under the hood. Federal Reserve Bank of St. Louis Review 83 (2001) 1-10
48. Nelson D. Conditional heteroscedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370
49. Schwartz A.J. The rise and fall of foreign exchange market intervention as a policy tool. Journal of Financial Services 18 (2000) 319-339
50. Sellon G.H.J. Monetary policy and the zero bound: Policy options when short-term rates reach zero. Federal Reserve Bank of Kansas City Economic Review (2003) 5-43
51. Vitale P. Foreign exchange intervention: How to signal policy objectives and stabilize the economy. Journal of Monetary Economics 50 (2003) 841-870