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首页> 外文期刊>Journal of Asian Economics >Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility
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Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility

机译：央行干预和汇率波动性：日本使用实际波动率的证据

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摘要

This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and Barndorff-Nielsen and Shephard (2004, 2006), we use bi-power variation to decompose daily realized volatility into two components: the smooth persistent and the discontinuous jump components. We model exchange rate returns, the different components of realized volatility and the central bank intervention using a system of simultaneous equations. We find strong support that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short-lived positive jumps, but were also persistent over time. We did not find any evidence that interventions were effective in influencing the exchange rate returns for the entire sample period.
机译：本文提供了新的经验证据，证明了日本银行的外汇干预措施对使用高频数据的美元/日元汇率的每日实际波动率的有效性。继Huang和Tauchen（2005）以及Barndorff-Nielsen和Shephard（2004，2006）之后，我们使用双次方差分解将每日实现的波动分解为两个组成部分：平稳的持续性和不连续的跳跃性成分。我们使用联立方程系统对汇率收益，已实现波幅的不同组成部分和央行干预进行建模。我们发现，日本银行的干预措施增加了每日已实现波动率的连续性和跳跃性因素，对此我们给予了有力的支持。这表明日本银行的干预增加了市场的动荡性，不仅造成了短暂的积极跳跃，而且随着时间的推移也持续存在。我们没有发现任何证据表明干预可以有效影响整个样本期间的汇率回报。

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