2013 Fiscal Year Final Research Report
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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| 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 |
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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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