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The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility
5 references·16 citing·48 second hopsampled
The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility (2004)The effects of Japanese foreign exchange …Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Central bank intervention and risk in the forward market (1997)Central bank intervention and…Central bank intervention and the volatility of foreign exchange rates: evidence from the options market (1996)Central bank intervention and…A friction model of daily Bundesbank and Federal Reserve intervention (1996)A friction model of daily Bun…Foreign currency option values (1983)Foreign currency option valuesAsymmetric herding as a source of asymmetric return volatility (2011)Asymmetric herding as a sourc…The effect of intervention frequency on the foreign exchange market: The Japanese experience (2008)The effect of intervention fr…Asymmetric volatility in the foreign exchange markets (2008)Asymmetric volatility in the …The influence of actual and unrequited interventions (2007)The influence of actual and u…Foreign exchange intervention and equilibrium real exchange rates (2007)Foreign exchange intervention…Central bank authorities' beliefs about foreign exchange intervention (2007)Central bank authorities' bel…Interventions in the Yen–dollar spot market: A story of price, volatility and volume (2006)Interventions in the Yen–doll…The impact of central bank intervention on exchange-rate forecast heterogeneity (2005)The impact of central bank in…On the long-term effectiveness of exchange rate communication and interventions (2005)On the long-term effectivenes…An Assessment of the Impact of Japanese Foreign Exchange Intervention: 1991-2004 (2005)An Assessment of the Impact o…An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention (2005)An Analysis of Recent Studies…An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention (2005)An Analysis of Recent Studies…An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention (2005)An Analysis of Recent Studies…Communication and Exchange Rate Policy (2004)Communication and Exchange Ra…When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? (2003)When Do Central Bank Interven…Government Intervention in the Foreign Exchange Market (2003)Government Intervention in th…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Generalized autoregressive conditional heteroskedasticity (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Intraday effects of foreign exchange intervention by the Bank of Japan (1998)Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations (2002)Loan-to-Value Ratio as a Macroprudential Tool - Hong Kong's Experience and Cross-Country Evidence (2011)The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)ARCH modeling in finance (1992)The Message in Daily Exchange Rates (2002)The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits (2002)What prompts Japan to intervene in the Forex market? A new approach to a reaction function (2007)Efficient Analytic Approximation of American Option Values (1987)Target Zones and Exchange Rate Dynamics (1991)How Markets Process Information: News Releases and Volatility (1993)The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility (1996)A survey of market practitioners’ views on exchange rate dynamics (2000)Is sterilised foreign exchange intervention effective after all? an event study approach (2003)Content Analysis for the Social Sciences and Humanities (1970)Content Analysis in Consumer Research (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The impact of macroeconomic announcements on emerging market bonds (2007)Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Board of Governors of the Federal Reserve System (2001)The market microstructure of central bank intervention (2002)Oil price shocks, geopolitical risks, and green bond market dynamics (2020)Econometric policy evaluation: A critique (1976)Limited-dependent and qualitative variables in econometrics (1983)The market microstructure approach to foreign exchange: Looking back and looking forward (2013)Can Foreign Exchange Intervention Stem Exchange Rate Pressures from Global Capital Flow Shocks? (2015)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging markets and heavy tails (2013)Monetary policy uncertainty and the market reaction to macroeconomic news (2017)Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets (2020)Limited-Dependent and Qualitative Variables in Econometrics. (1985)The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies (2008)Exchange rate management in emerging markets: Intervention via an electronic limit order book (2009)Essays in Positive Economics (1954)The Case for Flexible Exchange Rates (1996)The forward discount anomaly and the risk premium: A survey of recent evidence (1996)Foreign Exchange Intervention (2011)REGIONAL ECONOMIC OUTLOOK (2011)Can Foreign Exchange Intervention Stem Exchange Rate Pressures from Global Capital Flow Shocks? (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1983Foreign currency option values1,078 cited
  • 1998Central bank intervention and exchange rate volatility441 cited
  • 1996Central bank intervention and the volatility of foreign exchange rates: evidence from the options market230 cited
  • 1996A friction model of daily Bundesbank and Federal Reserve intervention148 cited
  • 1997Central bank intervention and risk in the forward market147 cited

Cited by

  • 2005An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention139 cited
  • 2005An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention108 cited
  • 2005On the long-term effectiveness of exchange rate communication and interventions85 cited
  • 2008Asymmetric volatility in the foreign exchange markets84 cited
  • 2007Central bank authorities' beliefs about foreign exchange intervention77 cited
  • 2003Government Intervention in the Foreign Exchange Market70 cited
  • 2003When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?66 cited
  • 2004Communication and Exchange Rate Policy61 cited
  • 2005An Assessment of the Impact of Japanese Foreign Exchange Intervention: 1991-200453 cited
  • 2007

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Foreign exchange intervention and equilibrium real exchange rates
49 cited
  • 2007The influence of actual and unrequited interventions47 cited
  • 2005An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention46 cited
  • 2011Asymmetric herding as a source of asymmetric return volatility45 cited
  • 2006Interventions in the Yen–dollar spot market: A story of price, volatility and volume38 cited
  • 2008The effect of intervention frequency on the foreign exchange market: The Japanese experience38 cited
  • 2005The impact of central bank intervention on exchange-rate forecast heterogeneity38 cited