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Effects of the Bank of Japan’s Intervention on Yen/Dollar Exchange Rate Volatility
http://hdl.handle.net/10086/14585
http://hdl.handle.net/10086/14585287f0787-bc53-4b77-a57f-88f8f4297e60
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
0100707301.pdf (305764 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||
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| 公開日 | 2017-05-20 | |||||||||
| タイトル | ||||||||||
| タイトル | Effects of the Bank of Japan’s Intervention on Yen/Dollar Exchange Rate Volatility | |||||||||
| 言語 | en | |||||||||
| 作成者 |
渡部, 敏明
× 渡部, 敏明× 原田, 喜美枝
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| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| 権利情報 | ||||||||||
| 権利情報 | Copyright (C)2004, Elsevier Inc. The definitive version is published in Journal of the Japanese and International Economies.VOL. 20, ISSUE.1, 2006, DOI:10.1016/j.jjie.2004.08.001. | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Exchange rate volatility | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Central previous termbank intervention | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Component GARCH | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | This paper examines the effects of the Bank of Japan's (BOJ) intervention on the volatility as well as the level of the yen/dollar exchange rate. Specifically, the conventional GARCH model proposed by Bollerslev (1986) and the component GARCH model proposed by Engle and Lee (1999), where the volatility consists of short-run and long-run components, are estimated using the BOJ's and the Federal Reserve system's (Fed's) official intervention data. Results based on the component GARCH model provide new evidence on the effects of the BOJ's intervention on the volatility of the yen/dollar exchange rate. The BOJ's intervention only reduces the short-run volatility component from the late 1990s to 2003, while it does not have an impact on volatility (both the short- and long-run volatilities) at all in the early 1990s. The stabilizing effect of the BOJ's intervention in the late 1990s and the first few years of the 2000s is not enhanced by the Fed's coordinated intervention. | |||||||||
| 言語 | en | |||||||||
| 出版者 | ||||||||||
| 出版者 | Elsevier Inc. | |||||||||
| 日付 | ||||||||||
| 日付 | 2006-03 | |||||||||
| 日付タイプ | Issued | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
| 資源タイプ | journal article | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | AM | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | ISSN | |||||||||
| 収録物識別子 | 0889-1583 | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | NCID | |||||||||
| 収録物識別子 | AA10701721 | |||||||||
| 収録物名 | ||||||||||
| 収録物名 | Journal of the Japanese and International Economies | |||||||||
| 巻 | ||||||||||
| 巻 | 20 | |||||||||
| 号 | ||||||||||
| 号 | 1 | |||||||||
| 開始ページ | ||||||||||
| 開始ページ | 99 | |||||||||
| 終了ページ | ||||||||||
| 終了ページ | 111 | |||||||||
| JEL | ||||||||||
| 値 | F31 | |||||||||
