Foreign exchange market intervention and expectations : an empirical study of the yen / dollar exchange rate

@inproceedings{Galati2004ForeignEM,
  title={Foreign exchange market intervention and expectations : an empirical study of the yen / dollar exchange rate},
  author={Gabriele Galati and William Melickb and Marian Micua},
  year={2004}
}
We use official intervention data provided by the Federal Reserve and, recently, the Japanese Ministry of Finance, as well as a new data set based on Reuters news articles on intervention that is perceived by FX traders. We estimate probability density functions (PDFs) from option data to describe market expectations. We find that, between 1993 and 1996, Japanese authorities tended to respond mainly to deviations of the exchange rate from some implicit target levels and to a rise in market… CONTINUE READING