the effectiveness of foreign exchange intervention in Japan
| Project/Area Number |
23730216
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Keio University |
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Principal Investigator |
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| Project Period (FY) |
2011 – 2013
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2011: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | 為替介入 / 大震災 / ボラティリティ / 内生性 / アーカイブデータ / 為替レート / 巨大地震 / 非不胎化 / MCMC / ベイズ推定 / 口先介入 / 後光効果 / 政府高官 / 成功率 |
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| Research Abstract |
The Great East Japan Earthquake in 2011, as well as the Great Hanshin-Awaji
Earthquake in 1995 and the Great Kanto Earthquake in 1923, resulted in disorderly movements of yen in the foreign exchange market. We investigate the exchange rate volatility shift after these three great earthquakes in Japan and examine if similar excess volatility after major earthquakes can also be observed in other countries. In addition, using a unique daily data set from the Great Kanto Earthquake period, the episode with the largest increased volatility among all three great earthquakes, we estimate a reaction function of foreign exchange market intervention, and evaluate the role of government intervention in stabilizing the foreign exchange market during the time of increased uncertainty caused by a large unexpected negative shock in the economy.
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Report
(4 results)
Research Products
(17 results)
