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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72683
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72683

    Title: Intraday effects of foreign exchange intervention by the Bank of Japan
    Authors: 張元晨
    Chang, Yuanchen;Taylor, Stephen J.
    Contributors: 財管系
    Date: 1998-02
    Issue Date: 2015-01-08 17:31:14 (UTC+8)
    Abstract: We examine the effects of intervention by the Bank of Japan using intraday data from Oct. 1, 1992 to Sept. 30, 1993. News related to the Bank of Japan's intervention in the JPY/$ market was retrieved from Reuters' headlines. We find that JPY/$ volatility varies significantly differently across periods from 1 h before to 1 h after Reuters' intervention reports. Results from ARCH models show that intervention by the Bank of Japan has a positive and significant impact on JPY/$ volatility, particularly at high frequencies (5- and 10-min intervals). We also find that our intervention proxy has the largest effect upon high frequency volatility 30 to 45 min prior to Reuters' reports.
    Relation: Journal of International Money and Finance, 17(1), 191-210
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/S0261-5606(97)00056-9
    DOI: 10.1016/S0261-5606(97)00056-9
    Appears in Collections:[財務管理學系] 期刊論文

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