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Large versus small foreign exchange interventions
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DOI：10.1016/j.jbankfin.2014.03.015.png)
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We use non-temporal threshold analysis to investigate the exchange rate effects of large versus small interventions. More than two decades of official daily data on intervention in the JPY/USD market facilitate our analysis. We find no evidence that small interventions exert a discernible influence on the exchange rate while large interventions significantly influence the exchange rate in the theoretically consistent manner. We conclude that small interventions may not be considered a determinant of the exchange rate while large interventions constitute an important element in our understanding, and modeling, of the exchange rate. (C) 2014 Elsevier B.V. All rights reserved.
Keyword:
Foreign exchange markets
Foreign exchange market intervention
Intervention amount
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