题目: Bank of Japan Interventions, Exchange Rate Volatility, and Spillover Effects: Evidence from High Frequency data
演讲者：Jiang Ying, lecturer in finance, University of Nottingham, Ningbo
时间: 2009年4月24日（星期五）3:00—4:30PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文摘要：
We consider the dynamics of the Bank of Japan (BoJ) interventions in the foreign exchange
market during the period 2000-2004, which during this period are of substantial magnitude,
relatively frequent, not co-ordinated and take place within the ‘zero interest rate’ monetary policy
regime. Only scant evidence exists in the literature on the spillover effect and the impact on
covariance in both daily and intraday framework, as well as on analyzing the characteristics of
intraday volatility dynamic on both intervention days and non-intervention days. In contrast to
earlier studies, our analysis does not hinge on the assumption that intervention always increases
the volatility of the exchange rate. We perform rolling estimations of a Multivariate GARCH
model, use the quartile plots of intraday volatility, and perform equal variance tests to investigate
intraday volatility characteristics in intervention and non-intervention days using both daily and
15-minute data. Our findings suggest that BoJ interventions decrease the volatility of
yen/$ exchange rate. This result contrasts the findings of earlier studies which focus on previous
experiences and typically find that interventions result to higher volatility. The effect of
interventions on the yen/$ volatility depends on the different states that the market experiences and its impact is different under high and low levels of exchange rate volatility. We also find the
intraday volatility is less heteroskedastic within the intervention day and this has implications for
volatility forecasting. We find strong evidence that intervention in the USD/YEN increases the
volatility of the Euro/Yen.
论文作者简介：
Dr. Ying Jiang joined The University of Nottingham in Ningbo in September 2008 as a Lecturer in Finance. She has a BA in Economics from Jilin University, an MSc in International Finance with distinction, and a PhD in Finance from the University of Essex. Previously she worked in the University of Essex as a Graduate Teaching Assistant in finance (2005 – 2008). Prior to academia, Ying worked as the manager of the Israeli branch and the assistant manager of the South African branch of Tianshi Group Ltd. (1997-2003)
Her main research interests are applied time series econometrics and international finance. In particular, she is applying and then testing exchange rate theories using advanced econometrics methods. Her current research concentrates on three issues related to the above: forecasting high exchange rate volatility using model designed to be used with such high frequency data; examining the effects of central bank interventions on exchange rate volatility and spillovers; re-testing purchasing power parity. Other interests include mergers and acquisitions, market efficiency, inflation forecasting, autocorrelation testing, etc.