Why do central banks intervene secretly?. Preliminary evidence from the BoJ

Journal of International Financial Markets, Institutions and Money

Volumn 17, Issue 3, 2007, Pages 291-306

  Beine, Michel ^a,b   Bernal, Oscar ^b  

^a UNIVERSITY OF LUXEMBOURG   (Luxembourg)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Central bank interventions; Exchange rates market; Secrecy puzzle

Indexed keywords

EID: 34249036104     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2005.12.003     Document Type: Article

References (28)

1. Almekinders G.J., and Eijffinger S.C.W. Daily Bundesbank and Federal Reserve informations: are they a reaction to changes in the level and volatility of the USD/DM-rate?. Empirical Economics 19 (1994) 111-130
2. Almekinders G.J., and Eijffinger S.C.W. A friction model of daily Bundesbank and Federal Reserve interventions. Journal of Banking and Finance 20 (1996) 1365-1380
3. Baillie R.T., and Osterberg W.P. Why do central banks intervene?. Journal of International Money and Finance 16 (1997) 909-919
4. Bank for International Settlements. Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in April 2004 (2004), Bank for International Settlements
5. Beine M., and Lecourt C. Reported and secret interventions in the foreign exchange markets. Finance Research Letters 1 (2004) 215-225
6. Beine M., Bénassy-Quéré A., and Lecourt C. Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations. Journal of International Money and Finance 21 (2002) 115-144
7. Bénassy-Quéré, A., Duran-Vigneron, P., Lahrèche-Revil, A., Mignon, V., 2004. Burden sharing and exchange rate misalignments within the Group of Twenty. CEPII Working paper 2004-13.
8. Bhattacharya U., and Weller P. The advantage to hiding one's hand: speculation and central bank intervention in the foreign exchange market. Journal of Monetary Economics 39 (1997) 251-277
9. Chiu, P., 2003. Transparency versus constructive ambiguity in foreign exchange intervention. BIS Working Paper 144.
10. Dominguez, K.M., 2004. When do central bank interventions influence intra-daily and longer-term exchange rate movements. NBER Working Paper 9875.
11. Dominguez K.M., and Frankel J. Does Foreign Exchange Intervention Work? (1993), Institute for International Economics
12. Enoch, C., 1998. Transparency in central bank operations in the foreign exchange market. IMF Working Paper on Policy Analysis and Assessments 98/2.
13. Evans, M.D.D., Lyons, R.K., 2001. Portfolio balance, price impact, and secret intervention. NBER Working Paper 8356.
14. Frenkel M., Pierdzioch C., and Stadtmann G. Modelling the intensity of foreign exchange intervention activity. Economics Letters 85 (2004) 347-351
15. Galati, G., Melick, W., 1999. Perceived central bank intervention and market expectations: an empirical study of the YEN/DOLLAR exchange rate, 1993-1996. BIS Working Paper 77.
16. Greene W.H. Econometric Analysis (2000), Prentice-Hall Inc.
17. Humpage, O., 2003. Government intervention in the foreign exchange market. Federal Reserve Bank of Cleveland Working Paper 03-15.
18. Hung J. Intervention strategies and exchange rate volatility: a noise trading perspective. Journal of International Money and Finance 16 (1997) 779-793
19. Ito, T., Yabu, T., 2004. What promotes Japan to intervene in the foreign exchange market? A new approach to a reaction function. NBER Working paper 10456.
20. 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
21. Lyons R.K. The Microstructure Approach to Exchange Rates (2001), The MIT Press
22. McFadden D.L. Econometric analysis of qualitative response models. In: Griliches Z., and Intriligator M.D. (Eds). Handbook of Econometrics vol. 2 (1984)
23. Mussa, M., 1981. The role of official intervention. Group of Thirty Occasional Papers 6.
24. Neely C.J. The practice of central bank intervention: looking under the hood. Federal Reserve Bank of Saint-Louis Review 83 3 (2001) 1-10
25. Neely, C.J., 2004. The case for foreign exchange intervention: the government as a long-term speculator. Federal Reserve Bank of Saint-Louis Working paper 2004-03 1B.
26. Sarno L., and Taylor M.P. Official intervention in the foreign exchange market: is it effective and, if so, how does it work?. Journal of Economic Literature 39 3 (2001) 839-868
27. Vitale P. Sterilized central bank intervention in the foreign exchange market. Journal of Economic Literature 49 3 (1999) 245-269
28. Wooldridge J.M. Econometric Analysis of Cross Section and Panel Data (2002), The MIT Press