A lesson from the four recent large public Japanese FX interventions

Yoshihiro Kitamura*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


A large volatility reflects dispersed opinions among market participants. Even when an FX intervention moves the level of the FX rate in its intending direction, this movement is transient unless the intervention mitigates the volatility and dissolves the dispersion among market participants. I adopt pulse and step functions to examine the short-run dynamic effects of four recent Japanese FX interventions on the level and volatility of the yen/dollar rate. The four interventions are large and public, and these are important factors in the effectiveness of the intervention. I find that the two recent interventions are successful in terms of persistent depreciation and mitigating volatility. The two successful interventions are characterized by their size effect. In turn, although the third intervention caused the yen to depreciate, this is short-lived because of increasing volatility.

Original languageEnglish
Article number101087
JournalJournal of The Japanese and International Economies
Publication statusPublished - 2020 Sept


  • Foreign exchange intervention
  • Pulse and step functions
  • Realized volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations


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