Impulse Response of the Exchange Rate Volatility to a Foreign Exchange Intervention Shock

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Hoshikawa, Takeshi;
(2009)
  • Publisher: 近畿大学経済学会
  • Journal: 生駒経済論叢 = Ikoma Journal of Economics,volume 7,issue 1,pages599-617 (issn: 1348-8686)
  • Publisher copyright policies & self-archiving
  • Subject: Foreign exchange intervention | Exchange rate volatility | GARCH | causality-in-variance | impulse response function

This paper uses Lin's technique (1997) to report on the impulse response function analysis that traces the dynamics of exchange rate volatility from innovations in Japanese foreign exchange intervention. Using a multivariate GARCH model, we employed a volatility impuls... View more
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