@article{oai:kindai.repo.nii.ac.jp:00010861,
 author = {Hoshikawa,  Takeshi},
 issue = {1},
 journal = {生駒経済論叢, Ikoma Journal of Economics},
 month = {Jul},
 note = {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., This work was supported by KAKENHI (20730210)., application/pdf},
 pages = {599--617},
 title = {Impulse Response of the Exchange Rate Volatility to a Foreign Exchange Intervention Shock},
 volume = {7},
 year = {2009},
 yomi = {ホシカワ, タケシ}
}