Fig 1 - uploaded by Hideki Takayasu
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An example of intervention in the yen-dollar exchange market. The figure shows the rate in 2/11/1994. America intervened at 11:00AM.
Source publication
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the averaged rate about 1 yen per 1...
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Citations
... The finite-asset effect is expected to be important in studying the response of the market to large external impacts, such as governmental interventions. Huge amount of intervention are known to drastically shift the exchange rate in short time [17], and understanding the market microstructure during intervention is practically important. In this paper, we introduce a new dealer model with finite assets to estimate relations between variation of the total assets in the market and the movement of the exchange rates. ...
