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Working Paper

The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility

Kiel Working Papers, 1165

Authors

  • Frenkel
  • M.
  • Pierdzioch
  • C.
  • Stadtmann
  • G.

Publication Date

JEL Classification

F31 F33 E58 G15

Key Words

Bank of Japan

Exchange rate volatility

Foreign exchange market interventions

Previous studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were released only recently by the BoJ and find that the interventions of the BoJ increased the volatility of the yen/U.S. dollar exchange rate. We find that that the interventions of the BoJ, in particular those interventions not reported in the financial press, were positively correlated with exchange rate volatility.

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