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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 |
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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) | ||||||
en | ||||||
星河, 武志 | ||||||
著者 所属 | ||||||
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 |