| dc.contributor | 財管系 | |
| dc.creator (作者) | 張元晨 | zh_TW |
| dc.creator (作者) | Chang, Yuanchen;Taylor, Stephen J. | |
| dc.date (日期) | 1998-02 | |
| dc.date.accessioned | 8-Jan-2015 17:31:14 (UTC+8) | - |
| dc.date.available | 8-Jan-2015 17:31:14 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Jan-2015 17:31:14 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/72683 | - |
| dc.description.abstract (摘要) | We examine the effects of intervention by the Bank of Japan using intraday data from Oct. 1, 1992 to Sept. 30, 1993. News related to the Bank of Japan`s intervention in the JPY/$ market was retrieved from Reuters` headlines. We find that JPY/$ volatility varies significantly differently across periods from 1 h before to 1 h after Reuters` intervention reports. Results from ARCH models show that intervention by the Bank of Japan has a positive and significant impact on JPY/$ volatility, particularly at high frequencies (5- and 10-min intervals). We also find that our intervention proxy has the largest effect upon high frequency volatility 30 to 45 min prior to Reuters` reports. | |
| dc.format.extent | 1885711 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of International Money and Finance, 17(1), 191-210 | |
| dc.title (題名) | Intraday effects of foreign exchange intervention by the Bank of Japan | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/S0261-5606(97)00056-9 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/S0261-5606(97)00056-9 | en_US |
