| 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) |
| 公開日 |
2017-05-20 |
| タイトル |
|
|
タイトル |
A New Method for Identifying the Effects of Central Bank Interventions |
|
言語 |
en |
| 作成者 |
Chen, Chih-nan
渡辺, 努
藪, 友良
|
| 寄与者 |
|
|
寄与者タイプ |
Editor |
|
|
姓名 |
日本経済の物価変動ダイナミクスの解明 = Understanding Inflation Dynamics of the Japanese Economy |
|
|
言語 |
en |
| 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 |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
foreign exchange intervention |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
intraday data |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
Markov-chain Monte Carlo method |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
endogeneity problem |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
temporal aggregation |
| 内容記述 |
|
|
内容記述タイプ |
Abstract |
|
内容記述 |
Central banks react even to intraday changes in the exchange rate; however, in most cases, intervention data is available only at a daily frequency. This temporal aggregation makes it difficult to identify the effects of interventions on the exchange rate. We propose a new method based on Markov Chain Monte Carlo simulations to cope with this endogeneity problem: We use “data augmentation” to obtain intraday intervention amounts and then estimate the efficacy of interventions using the augmented data. Applying this method to Japanese data, we find that an intervention of one trillion yen moves the yen/dollar rate by 1.7 percent, which is more than twice as large as the magnitude reported in previous studies applying OLS to daily observations.This shows the quantitative importance of the endogeneity problem due to temporal aggregation. |
|
言語 |
en |
| 出版者 |
|
|
出版者 |
Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University |
| 日付 |
|
|
日付 |
2009-01-19 |
|
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_18gh |
|
資源タイプ |
technical report |
| 出版タイプ |
|
|
出版タイプ |
VoR |
|
出版タイプResource |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| 関連情報 |
|
|
関連タイプ |
isPartOf |
|
|
関連名称 |
Working Paper Series ; No. 30 |
| 関連情報 |
|
|
|
識別子タイプ |
URI |
|
|
関連識別子 |
http://www.ier.hit-u.ac.jp/~ifd/ |
| ページ数 |
|
|
ページ数 |
24 |
| Sponsorship |
|
|
値 |
日本学術振興会・科学研究費補助金（学術創成研究費） = JSPS Grant-in-Aid for Creative Scientific Research |
| JEL |
|
|
値 |
C11 |
| JEL |
|
|
値 |
C22 |
| JEL |
|
|
値 |
F31 |
| JEL |
|
|
値 |
F37 |
IFD_WP30.pdf (447229 bytes)
