Effect of foreign exchange interventions on volatility of dollar/yen exchange rate
|Author:||Mgr. Daria Filippova|
|Year:||2017 - summer|
|Leaders:|| prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.
|Work type:|| Masters
|Awards and prizes:|
|Abstract:||Japanese monetary authorities used to employ various intervention techniques to adjust the
level of the dollar/yen exchange rate and reduce its volatility. Application of the GARCH-inmean
model for estimation of the effect of these operations demonstrates that depreciating
interventions reduced volatility effectively from 1995 until 2002. Frequent interventions of
the small scale had a tendency to increase volatility during period 1991-1995. Foreign
exchange interventions conducted by US Fed have increasing, means negative, effect, on the
conditional variance. Frequent interventions of the great scale do not affect the volatility; it is
determined mostly by the persistent level of the conditional variance from the latter periods.
Recent interventions conducted by the Bank of Japan after the financial crisis do not show any
considerable effect on both the volatility and the level of the exchange rate.