TY - JOUR
T1 - Japanese Foreign Exchange Interventions, 1971-2018
T2 - Estimating a Reaction Function Using the Best Proxy
AU - Ito, Takatoshi
AU - Yabu, Tomoyoshi
N1 - Funding Information:
We would like to thank Shin-ichi Fukuda (the Editor-in-Chief), two anonymous referees, Takeshi Hoshikawa, Jouchi Nakajima, and Tsutomu Watanabe for helpful comments. We also thank Shota Arai and Naoto Shimano for research assistance. Ito gratefully acknowledges financial support from the JSPS through Grants-in-Aid for Scientific Research (A-25245044). Yabu gratefully acknowledges financial support from the JSPS through Grants-in-Aid for Scientific Research (No. 17K03663). The authors are solely responsible for any remaining errors. The views and opinions expressed in this paper are those of the authors.
Funding Information:
We would like to thank Shin-ichi Fukuda (the Editor-in-Chief), two anonymous referees, Takeshi Hoshikawa, Jouchi Nakajima, and Tsutomu Watanabe for helpful comments. We also thank Shota Arai and Naoto Shimano for research assistance. Ito gratefully acknowledges financial support from the JSPS through Grants-in-Aid for Scientific Research (A-25245044). Yabu gratefully acknowledges financial support from the JSPS through Grants-in-Aid for Scientific Research (No. 17K03663). The authors are solely responsible for any remaining errors. The views and opinions expressed in this paper are those of the authors.
Publisher Copyright:
© 2020 Elsevier Inc.
PY - 2020/12
Y1 - 2020/12
N2 - We analyze the history of Japanese foreign exchange interventions from 1971 to 2018. First, we provide the best proxy for monthly interventions for the period from 1971 to 1990, when the intervention timings and amounts were not officially disclosed. The accuracy of the proxy is tested for the period when the statistics were disclosed after 1991. The proxy explains 99.8% of actual settlement-based interventions. Second, we examine conditions under which the Japanese monetary authorities are likely to intervene by estimating a policy reaction function, using the long-term data, spanning the period when intervention data have been officially disclosed and the period where our proxy is available. Third, we analyze intervention timings and amounts for Japan, the US, and Germany. Fourth, we present the episode of international coordination represented by the Plaza and Louvre agreements as a case study of notable interventions during the period.
AB - We analyze the history of Japanese foreign exchange interventions from 1971 to 2018. First, we provide the best proxy for monthly interventions for the period from 1971 to 1990, when the intervention timings and amounts were not officially disclosed. The accuracy of the proxy is tested for the period when the statistics were disclosed after 1991. The proxy explains 99.8% of actual settlement-based interventions. Second, we examine conditions under which the Japanese monetary authorities are likely to intervene by estimating a policy reaction function, using the long-term data, spanning the period when intervention data have been officially disclosed and the period where our proxy is available. Third, we analyze intervention timings and amounts for Japan, the US, and Germany. Fourth, we present the episode of international coordination represented by the Plaza and Louvre agreements as a case study of notable interventions during the period.
KW - Central bank intervention
KW - Foreign reserves
KW - Ordered probit model
KW - Policy coordination
KW - Structural break
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U2 - 10.1016/j.jjie.2020.101106
DO - 10.1016/j.jjie.2020.101106
M3 - Article
AN - SCOPUS:85092119022
SN - 0889-1583
VL - 58
JO - Journal of The Japanese and International Economies
JF - Journal of The Japanese and International Economies
M1 - 101106
ER -