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Volatility and Spillover Effects of Yen Interventions
Author(s) -
Chortareas Georgios,
Jiang Ying,
Nankervis John C.
Publication year - 2013
Publication title -
review of international economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.513
H-Index - 58
eISSN - 1467-9396
pISSN - 0965-7576
DOI - 10.1111/roie.12063
Subject(s) - volatility (finance) , economics , us dollar , autoregressive conditional heteroskedasticity , econometrics , autoregressive model , spillover effect , heteroscedasticity , forward volatility , exchange rate , monetary economics , stochastic volatility , macroeconomics
We consider the effects of interventions by the B ank of J apan's ( BoJ ) on the intraday volatility of the US dollar/ J apanese yen ( USD / JPY ) exchange rates and their spillovers to volatility of the euro/ JPY exchange rates. We use 15‐minute data during the period 2000–2004 and employ multivariate generalized autoregressive conditional heteroskedasticity ( GARCH ) modeling and quartile plots of intraday volatility to analyze the intraday effects of the BoJ interventions on exchange rate volatility. The results indicate that the BoJ interventions decrease daily volatility of the USD / JPY exchange rate but increase the volatility of the euro/ JPY series. On intervention days, the intraday volatility has different patterns to those on non‐intervention days.