The Yen-Dollar Rate: Have Interventions Mattered?
26 Pages Posted: 1 Feb 2006
Date Written: June 2000
Abstract
Using daily data for 1995-99, this paper estimates a simple forward looking model of the exchange rate to show that foreign exchange interventions have, on the whole, had small but persistent effects on the yen-dollar rate. Contrary to conventional wisdom, sterilized interventions have mattered. Consistent with conventional wisdom, coordinated interventions have a higher probability of success and move the yen-dollar rate by a larger margin than unilateral interventions. A probit model indicates that both an excessive appreciation and depreciation of the yen provoke interventions, and that interventions occur in clustersif there is one today, there will likely be another tomorrow.
Keywords: Interventions, exchange rates, expectations
JEL Classification: E4, F3, F31
Suggested Citation: Suggested Citation
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