Menu Expand

Wie entschlossen intervenieren Zentralbanken am Devisenmarkt? Neue empirische Evidenz für die Bank of Japan

Cite JOURNAL ARTICLE

Style

Frenkel, M., Pierdzioch, C., Stadtmann, G. Wie entschlossen intervenieren Zentralbanken am Devisenmarkt? Neue empirische Evidenz für die Bank of Japan. Credit and Capital Markets – Kredit und Kapital, 36(4), 483-498. https://doi.org/10.3790/ccm.36.4.483
Frenkel, Michael; Pierdzioch, Christian and Stadtmann, Georg "Wie entschlossen intervenieren Zentralbanken am Devisenmarkt? Neue empirische Evidenz für die Bank of Japan" Credit and Capital Markets – Kredit und Kapital 36.4, 2003, 483-498. https://doi.org/10.3790/ccm.36.4.483
Frenkel, Michael/Pierdzioch, Christian/Stadtmann, Georg (2003): Wie entschlossen intervenieren Zentralbanken am Devisenmarkt? Neue empirische Evidenz für die Bank of Japan, in: Credit and Capital Markets – Kredit und Kapital, vol. 36, iss. 4, 483-498, [online] https://doi.org/10.3790/ccm.36.4.483

Format

Wie entschlossen intervenieren Zentralbanken am Devisenmarkt? Neue empirische Evidenz für die Bank of Japan

Frenkel, Michael | Pierdzioch, Christian | Stadtmann, Georg

Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 4 : pp. 483–498

Additional Information

Article Details

Author Details

Michael Frenkel, Vallendar

Christian Pierdzioch, Kiel

Georg Stadtmann, Bloomington

References

  1. Almekinders, G. J./Eijffinger, S. C. W. (1996): A Friction Model of Daily Bundesbank and Federal Reserve Intervention, Journal of Banking and Finance 20(8), pp. 1365-1380.  Google Scholar
  2. Baillie, R. T./Osterberg, W. P. (1997a): Why do central banks intervene?, Journal of International Money and Finance 16(6), pp. 909-919.  Google Scholar
  3. Baillie, R. T./Osterberg, W. (1997b): Central bank intervention and risk in the forward market, Journal of International Economics 43(3-4), pp. 483-497.  Google Scholar
  4. Calvo, G. A./Reinhart, C. M. (2002): Fear of Floating, Quarterly Journal of Economics 117(2), pp. 379-408.  Google Scholar
  5. Cameron, A. Colin; Trivedi, Pravin K.: Regression-Based Tests for Overdispersion in the Poisson Model; Journal of Econometrics, December 1990, v. 46, iss. 3, pp. 347-64.  Google Scholar

Abstract

How Strongly Determined are Central Banks to Intervene in the Foreign Exchange Market? New empirical evidence concerning the Bank of Japan

This article discusses a new approach to modelling the determining factors of central bank interventions in foreign exchange markets. This new approach is based on the empirical observation that central banks often intervene in foreign exchange markets on several consecutive days. The number of the days on which central banks intervened in foreign exchange markets may thus be used as an instrument for measuring how strongly determined these banks were to enforce their exchange-rate policy objectives by way of interventions in foreign exchange markets. The way in which this approach can be used to study the intervention policy of central banks is demonstrated on the basis of a new data set on the foreign exchange market interventions of the Bank of Japan in the 1990s.