The Yen-Dollar Rate: Have Interventions Mattered?

Author/Editor:

Ramana Ramaswamy ; Hossein Samiei

Publication Date:

June 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

Using daily data for 1995–99, this paper estimates a simple forward looking model of the exchange rate to show that foreign exchange interventions have, on the whole, had small but persistent effects on the yen-dollar rate. Contrary to conventional wisdom, sterilized interventions have mattered. Consistent with conventional wisdom, coordinated interventions have a higher probability of success and move the yen-dollar rate by a larger margin than unilateral interventions. A probit model indicates that both an excessive appreciation and depreciation of the yen provoke interventions, and that interventions occur in clusters—if there is one today, there will likely be another tomorrow.

Series:

Working Paper No. 2000/095

Subject:

Currencies Currency markets Exchange rate adjustments Exchange rates Financial markets Foreign exchange Foreign exchange intervention Money

English

Publication Date:

June 1, 2000

ISBN/ISSN:

9781451851816/1018-5941

Stock No:

WPIEA0952000

Pages:

25

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