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dc.contributor.authorGnabo, Jean-Yves
dc.contributor.authorTeiletche, Jérôme
dc.date.accessioned2009-07-02T08:39:07Z
dc.date.available2009-07-02T08:39:07Z
dc.date.issued2009-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/647
dc.language.isoenen
dc.subjectMarchés financiers internationauxen
dc.subjectRisk-neutralen
dc.subjectCommunication policyen
dc.subjectEvent studiesen
dc.subjectCentral bank interventionsen
dc.subjectBanques centralesen
dc.subjectInternational financeen
dc.subject.ddc332en
dc.subject.classificationjelF31en
dc.subject.classificationjelE44en
dc.subject.classificationjelE58en
dc.subject.classificationjelG15en
dc.subject.classificationjelC22en
dc.titleForeign-exchange intervention strategies and market expectations: insights from Japanen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLouvain School of Management;Belgique
dc.description.abstractenThis study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be designed to have the greatest impact? Using Japanese data over 1992–2004 and an event-study approach, we estimate the effect of different strategies on the USD/JPY exchange-rate risk-neutral density. Overall, transparent policies (public and oral interventions) appear to be the most effective. Moreover, the effect is greater when policies involve a financial cost (risk) suggesting that simple announcements can only be deemed as an imperfect substitute for actual interventions.en
dc.relation.isversionofjnlnameJournal of International Financial Markets, Institutions and Money
dc.relation.isversionofjnlvol19en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2009-07
dc.relation.isversionofjnlpages432-446en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.intfin.2008.05.002en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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