Bank of Japan Interventions and the Volatility of the Dollar/Yen Exchange Rate
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Bank of Japan Interventions and the Volatility of the Dollar/Yen Exchange Rate
Chortareas, Georgios | Jiang, Ying
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 1 : pp. 25–36
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Georgios Chortareas, King"s College London, School of Business Management, Franklin-Wilkins Building, 150 Stamford Street, London SE1 9NH, Department of Economics University of Athens, 1 Sofokleus Street, 10559 Athens, Greece.
Ying Jiang, Nottingham University, Business School China, University of Nottingham Ningbo, China, Room 375 Trend Building, 199 Taikang East Road, Ningbo 315100, China
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.
Table of Contents
| Section Title | Page | Action | Price |
|---|---|---|---|
| Georgios Chortareas / Ying Jiang: Bank of Japan Interventions and the Volatility of the Dollar / Yen Exchange Rate | 1 |