Central banks interventions and market expectations: the BoJ case
Morel, Christophe; Teiletche, Jérôme (2008), Central banks interventions and market expectations: the BoJ case, Journal of Empirical Finance, 15, 2, p. 211-231. http://dx.doi.org/10.1016/j.jempfin.2006.07.005
TypeArticle accepté pour publication ou publié
Nom de la revueJournal of Empirical Finance
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Résumé (EN)The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on over-the-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.
Mots-clésBank of Japan; Bootstrap; Event study; Risk-neutral density; Finance; International finance
Affichage des éléments liés par titre et auteur.
Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004 Morel, Christophe; Teiletche, Jérôme (2008-03) Article accepté pour publication ou publié
Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market Idier, Julien; Avouyi-Dovi, Sanvi (2010-01) Document de travail / Working paper