央行干预效应之日本证据:1991-2004

本文利用日本央行的外汇实际干预数据对1991-2004年央行干预日元/美元汇率的效应进行了分析。实证结果表明,买入干预的绝对数量对汇率水平影响显著,当干预为日美央行联合买入时,干预对汇率水平的影响更为明显,而单边卖出干预和央行联合卖出干预对汇率水平均不产生显著性影响。同时,日本央行参与入市干预这一举措本身会导致汇率波动的下降,但当干预数量较大时,日本央行的干预将会增大汇率的条件方差。

The effects of central bank interventions: evidence from Japan during 1991-2004

Using historical data,this paper conducts empirical analysis on the effectiveness of Japanese intervention policies on the yen/US dollar exchange rate during 1991-2004.It shows that purchase of US dollars was effective in affecting exchange rate and such effect becomes exceptionally obvious when both the Boj and the Fed purchased.However,the sale of US dollars-no matter by the Boj or by both the Boj and the Fed-had no obvious effect.This paper also suggests that the intervention of the BoJ in the market ironed the conditional variance of exchange rate.But if the volume of intervening amount is large enough,it will lead to an increase in exchange rate volatility.