Volatility and Spillover Effects of Yen Interventions

19 Pages Posted: 16 Aug 2013

See all articles by Georgios E. Chortareas

Georgios E. Chortareas

University of Athens - Faculty of Economics; University of Essex - Department of Accounting, Finance & Management; King's College London

Ying Jiang

The University of Nottingham Ningbo, China

John C. Nankervis

University of Essex - Department of Accounting, Finance & Management

Date Written: September 2013

Abstract

We consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15‐minute data during the period 2000–2004 and employ multivariate generalized autoregressive conditional heteroskedasticity (GARCH) modeling and quartile plots of intraday volatility to analyze the intraday effects of the BoJ interventions on exchange rate volatility. The results indicate that the BoJ interventions decrease daily volatility of the USD/JPY exchange rate but increase the volatility of the euro/JPY series. On intervention days, the intraday volatility has different patterns to those on non‐intervention days.

Suggested Citation

Chortareas, Georgios and Jiang, Ying and Nankervis, John C., Volatility and Spillover Effects of Yen Interventions (September 2013). Review of International Economics, Vol. 21, Issue 4, pp. 671-689, 2013, Available at SSRN: https://ssrn.com/abstract=2311092 or http://dx.doi.org/10.1111/roie.12063

Georgios Chortareas (Contact Author)

University of Athens - Faculty of Economics ( email )

8 Pesmazoglou street
GR-10559 Athens
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University of Essex - Department of Accounting, Finance & Management ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom

King's College London ( email )

Strand
London, England WC2R 2LS
United Kingdom

Ying Jiang

The University of Nottingham Ningbo, China ( email )

199 Taikang East Road
China

John C. Nankervis

University of Essex - Department of Accounting, Finance & Management ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom

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