Exchange Rate Interventions and Investors' Expectation

2008 Fiscal Year Final Research Report

• Project/Area Number: 18730211
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Public finance/Monetary economics
• Research Institution: Kobe University (2007-2008); Hitotsubashi University (2006)
• Principal Investigator: IWATSUBO Kentaro Kobe University, 大学院経済学研究科, 准教授 (90372466)
• Project Period (FY): 2006 – 2008
• Keywords: 為替介入 / 為替予想 / シグナル効果 / マイクロストラクチャー

Research Abstract

為替介入のメカニズムとして通貨当局のシグナル効果が指摘されてきたが、必ずしも実証的に支持されるものではなかった。
本研究では、投資家間の期待の散らばり度合いによって、シグナル効果が影響を受けることを理論的に示し、データを用いて実証的に検証した。

Research Products

• [Journal Article] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate (2009)
  • Author(s): Iwatsubo, K., Kitamura, Y
  • Journal Title: Applied Financial Economics
  • Peer Reviewed
• [Journal Article] External Adjustments and Coordinated Exchange Rate Policy in Asia (2009)
  • Author(s): Ogawa, E., Iwatsubo, K
  • Journal Title: Journal of Asian Economics 20 Pages: 225-239
  • Peer Reviewed
• [Journal Article] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms (2007)
  • Author(s): Iwatsubo, K., Inagaki, K
  • Journal Title: 18 Pages: 217-236
  • Peer Reviewed
• [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia (2009)
  • Author(s): 岩壷健太郎
  • Organizer: EU Conference in Seoul National Univ
  • Place of Presentation: Seoul, Korea
  • Year and Date: 20090200
• [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia (2009)
  • Author(s): 岩壷健太郎
  • Organizer: ACES2009
  • Place of Presentation: ASSA Meeting in San Francisco, USA
  • Year and Date: 2009-01-03
• [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia (2008)
  • Author(s): 岩壷健太郎
  • Organizer: APEA Conference
  • Place of Presentation: Beijing, China
  • Year and Date: 20081212-13
• [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data (2008)
  • Author(s): 岩壷健太郎
  • Organizer: APEA Conference
  • Place of Presentation: 中国、北京
  • Year and Date: 20081212-13
• [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data (2008)
  • Author(s): 岩壷健太郎
  • Organizer: 日本金融学会
  • Place of Presentation: 秋季大会(広島大学)
  • Year and Date: 20081012-13
• [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data (2008)
  • Author(s): 岩壷健太郎
  • Organizer: 日本経済学会
  • Place of Presentation: 秋季大会(近畿大学)
  • Year and Date: 20080914-15
• [Presentation] External Adjustments under Increasing Integration: Japanese Perspective (2008)
  • Author(s): 岩壷健太郎
  • Organizer: PEO/Structure Specialist Meeting
  • Place of Presentation: Osaka, Japan
  • Year and Date: 20080900
• [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia (2008)
  • Author(s): 岩壷健太郎
  • Organizer: ACAES Conference
  • Place of Presentation: Remini, Italy
  • Year and Date: 20080829-31
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2008)
  • Author(s): 岩壷健太郎
  • Organizer: European Economic Association Meeting
  • Place of Presentation: Milan
  • Year and Date: 20080821-27
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2008)
  • Author(s): 岩壷健太郎
  • Organizer: Australasian Econometric Society in Wellington
  • Place of Presentation: NZ
  • Year and Date: 20080709-11
• [Presentation] External Adjustments and Coordinated Exchange Rate Policy in Asia (2008)
  • Author(s): 岩壷健太郎
  • Organizer: Asia EAEA Conference
  • Place of Presentation: Manila, The Philippines
  • Year and Date: 2008-11-15
• [Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-frequency FX Data (2008)
  • Author(s): 岩壷健太郎
  • Organizer: 大阪大学
  • Place of Presentation: 金融・保険教育研究センター
  • Year and Date: 2008-10-17
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2008)
  • Author(s): 岩壷健太郎
  • Organizer: Canadian Economic Association
  • Place of Presentation: Vancouver, Canada
  • Year and Date: 2008-05-22
• [Presentation] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate (2007)
  • Author(s): 岩壷健太郎
  • Organizer: 統計研究会 金融班
  • Place of Presentation: バルセロナ・コンファレンス
  • Year and Date: 20070903-4
• [Presentation] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate (2007)
  • Author(s): 岩壷健太郎
  • Organizer: 統計研究会 金融班
  • Place of Presentation: バルセロナ・コンファレン
  • Year and Date: 20070903-4
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2007)
  • Author(s): 岩壷健太郎
  • Organizer: Econometric Society Far Eastern Meeting
  • Place of Presentation: Taipei, Taiwan
  • Year and Date: 20070709-12
• [Presentation] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms (2007)
  • Author(s): 岩壷健太郎
  • Organizer: APEA Conference
  • Place of Presentation: Hong Kong
  • Year and Date: 20070700
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2007)
  • Author(s): 岩壷健太郎
  • Organizer: University of Hawai
  • Place of Presentation: College of Business
  • Year and Date: 2007-08-21
• [Presentation] 通貨統合の費用と便益-為替平価変更の効果- (2007)
  • Author(s): 岩壷健太郎
  • Organizer: 統計研究会
  • Place of Presentation: 金融班
  • Year and Date: 2007-03-30
• [Presentation] Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms (2006)
  • Author(s): 岩壷健太郎
  • Organizer: The Journal of Asian Economics
  • Place of Presentation: コンファレンス
  • Year and Date: 20060900
• [Presentation] 外国人投資家の株式所有と企業価値の因果関係-分散不均一性による同時方程式の識別 (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 学習院大学 経済経営研究所(GEM)セミナー,
  • Year and Date: 20060700
• [Presentation] 短期コントラリアン戦略と業種リード・ラグ効果 (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 日本ファイナンス学会 第14回大会
  • Place of Presentation: 東京大学
  • Year and Date: 20060617-18
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 上智大学 経済学部セミナー
  • Year and Date: 2006-10-25
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 神戸大学 六甲フォーラム
  • Place of Presentation: 神戸大学 六甲フォーラム
  • Year and Date: 2006-09-14
• [Presentation] Expectation Heterogeneity and Signaling Effects of Foreign Exchange Interventions (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 横浜国立大学 近代経済学セミナー
  • Year and Date: 2006-07-30
• [Presentation] 外国人投資家の株式所有と企業価値の因果関係-分散不均一性による同時方程式の識別 (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 一橋大学 経済研究所 定例研究会
  • Year and Date: 2006-06-17
• [Presentation] 短期コントラリアン戦略と業種リード・ラグ効果 (2006)
  • Author(s): 岩壷健太郎
  • Organizer: 野村證券 金融経済研究所 研究会
  • Year and Date: 2006-06-15