publication . Research . 2009

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

Hoshikawa, Takeshi;
Open Access English
  • Published: 01 Jul 2009 Journal: 生駒経済論叢 = Ikoma Journal of Economics, volume 7, issue 1, pages 599-617 (issn: 1348-8686, Copyright policy)
  • Publisher: 近畿大学経済学会
Abstract
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 impulse response function based on Lin (1997) to detect the impulse response of exchange rate volatility on a one-unit foreign exchange intervention shock. The main findings of t his paper are as follows: (1) a foreign exchange intervention shock leads to a significant increase in exchange rate volatility, and (2) the central bank takes persistent action against the exchange rate volatility shock.
Subjects
free text keywords: Foreign exchange intervention, Exchange rate volatility, GARCH, causality-in-variance, impulse response function
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Research . 2009
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