مقاله انگلیسی رایگان در مورد ریباند نرخ ارز پس از مداخلات بازار ارز خارجی ( الزویر )

مقاله سال ۲۰۱۷

This study examined the effects of exchange-rate rebounds after foreign exchange intervention. Exchange rates fluctuate because of changes in the supply–demand balance of currencies. If government or central bank intervenes in the foreign exchange market without prior announcement, the exchange rate will be moved by the intervention. Subsequently, market participants who have observed the authorities’ intervention will react and the exchange rates will fluctuate according to the information related to the intervention. Fig. 1 presents trends in the Japanese yen per US dollar exchange rate around September 15, 2010. The Japanese government intervened in the foreign exchange market on September 15, 2010 by buying US dollars for 2124.9 billion yen.1 Fig. 1 shows that the yen-selling/dollar-purchasing intervention depreciated the yen. When the exchange market is given a shock by such an intervention, verifying the effect of the intervention is important. It is also important to observe how the exchange rate changes after the intervention. Fig. 2 is a conceptual diagram of a case in which the exchange rate has fluctuated as a result of a foreign exchange intervention. We consider that the yenselling/dollar-purchasing intervention at the time t has weakened the yen rapidly. In the left diagram of Fig. 2, the exchange rate just shifted, as shown by Path A. Path B in the right diagram, however, shows a rebound in the exchange rate to a stronger yen after the intervention. Whether a rebound in the exchange rate like Path B on the right of Fig. 2 follows a foreign exchange intervention is important when examining the intervention effects because such a rebound seemingly reduces the importance of the intervention. Examples of survey-based studies of foreign exchange intervention include Sarno and Taylor [2] and Takagi [3]. Studies of exchange-rate rebounds are not common despite numerous studies done on foreign exchange intervention.

The following reviews a scatter diagram of data related to exchange-rate rebounds after intervention. Fig. 3 presents the amounts of intervention (horizontal axis, in hundred million yen) and rates of foreign exchange fluctuations (vertical axis, logarithmic difference). The amount of intervention is a positive value when a yen-selling/dollar-purchasing intervention is implemented and a negative value when a yen-buying/dollar-selling intervention is implemented. Data for days on which no intervention took place were excluded. When the amount of intervention is a positive value, the exchange rate appears likely to move to the positive side i.e., a weaker yen, because of the yen-selling/dollar-purchasing intervention. Fig. 4 is a graph of exchange rate fluctuations on the days following a foreign exchange intervention and the amounts of intervention on the respective preceding days. The exchange rates on the days following a positive intervention, i.e., a yen-selling/dollarpurchasing operation, appear to move somewhat to the negative direction in comparison to Fig. 3. Figs. 3 and 4, however, reveal no clear relation.

In this study, we modified the methods presented by Hoshikawa and Yamaguchi [1] and examined the extent of exchange-rate rebounds after foreign exchange interventions. The preceding study investigated the extent of exchange rate fluctuations attributable to foreign exchange intervention and the virtual exchange rate that would have resulted without the intervention. This study also analyzed how the virtual exchange rate indicted by the previous study would be revised if a rebound existed. The main findings are the following: The effect of foreign exchange intervention varies depending on the period. The effect of intervention is large at some periods and smaller at others. It was particularly effective during the 1990s, but has gradually become less effective after the 2000s. When foreign exchange intervention proves to be effective, an exchange-rate rebound is observed on the day following an intervention. When intervention is less effective, however, the rebound cannot be large because the exchange rate has not reacted much to the intervention. Rebounds therefore tend not to be observed in such cases.