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Impulse Response of the Exchange Rate Volatility to a Foreign Exchange Intervention Shock
https://kindai.repo.nii.ac.jp/records/10861
https://kindai.repo.nii.ac.jp/records/10861d1ce5516-1ce1-4168-91a7-a318f10052ae
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
AA1196034X-20090731-0599.pdf (2.7 MB)
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| Item type | ☆紀要論文 / Departmental Bulletin Paper(1) | |||||||||
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| 公開日 | 2010-07-29 | |||||||||
| タイトル | ||||||||||
| タイトル | Impulse Response of the Exchange Rate Volatility to a Foreign Exchange Intervention Shock | |||||||||
| その他（別言語等）のタイトル | ||||||||||
| その他のタイトル | Impulse Response of the Exchange Rate Volatility to a Foreign Exchange Intervention Shock | |||||||||
| 著者 |
Hoshikawa, Takeshi
× Hoshikawa, Takeshi
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| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 主題 | Foreign exchange intervention, Exchange rate volatility, GARCH, causality-in-variance, impulse response function | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
| 資源タイプ | departmental bulletin paper | |||||||||
| 著者(英) | ||||||||||
| 言語 | en | |||||||||
| 値 | 星河, 武志 | |||||||||
| 著者 所属 | ||||||||||
| 値 | 近畿大学経済学部; 講師 | |||||||||
| 版 | ||||||||||
| 出版タイプ | NA | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_be7fb7dd8ff6fe43 | |||||||||
| 出版者 名前 | ||||||||||
| 出版者 | 近畿大学経済学会 | |||||||||
| 書誌情報 |
生駒経済論叢 en : Ikoma Journal of Economics 巻 7, 号 1, p. 599-617, 発行日 2009-07-01 |
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| ISSN | ||||||||||
| 収録物識別子タイプ | ISSN | |||||||||
| 収録物識別子 | 13488686 | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | This paper uses Lin's technique (1997) to report on the impulse response function analysis that traces the dynamics of exchange rate volatility from innovations in Japanese foreign exchange intervention. Using a multivariate GARCH model, we employed a volatility impulse response function based on Lin (1997) to detect the impulse response of exchange rate volatility on a one-unit foreign exchange intervention shock. The main findings of t his paper are as follows: (1) a foreign exchange intervention shock leads to a significant increase in exchange rate volatility, and (2) the central bank takes persistent action against the exchange rate volatility shock. | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | This work was supported by KAKENHI (20730210). | |||||||||
| フォーマット | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | application/pdf | |||||||||
