Journal of the Japanese and International Economies ( IF 1.985 ) Pub Date : 2020-09-20 , DOI: 10.1016/j.jjie.2020.101106 Takatoshi Ito , Tomoyoshi Yabu
We analyze the history of Japanese foreign exchange interventions from 1971 to 2018. First, we provide the best proxy for monthly interventions for the period from 1971 to 1990, when the intervention timings and amounts were not officially disclosed. The accuracy of the proxy is tested for the period when the statistics were disclosed after 1991. The proxy explains 99.8% of actual settlement-based interventions. Second, we examine conditions under which the Japanese monetary authorities are likely to intervene by estimating a policy reaction function, using the long-term data, spanning the period when intervention data have been officially disclosed and the period where our proxy is available. Third, we analyze intervention timings and amounts for Japan, the US, and Germany. Fourth, we present the episode of international coordination represented by the Plaza and Louvre agreements as a case study of notable interventions during the period.
中文翻译:
1971-2018年日本外汇干预:使用最佳代理估计反应函数
我们分析了1971年至2018年日本外汇干预的历史。首先,我们为1971年至1990年的月度干预提供了最佳代理,当时干预时间和金额未正式披露。在1991年之后的统计数据披露期间,对代理人的准确性进行了测试。代理人解释了基于定居点的实际干预措施的99.8%。其次,我们通过使用长期数据(涵盖正式公布干预数据的时期和我们的代理可用期间),通过评估政策反应功能来研究日本货币当局可能进行干预的条件。第三,我们分析了日本,美国和德国的干预时机和干预量。第四,