Does transparency in central bank intervention policy bring noise the FX market? The cafe of the bank of Japan.

S.F.J.A. Laurent, C. Lecourt, J.-Y. Gnabo

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This paper empirically investigates the induced effect of a more and less transparent central bank intervention (cbi) policy on rumors that can emerge. Using the case of japan, we estimate a dynamic-probit model that explains the main determinants of false reports (i.e. Falsely reported interventions) and anticipative rumors (i.e. Rumors about future interventions) with reference to the intervention strategy adopted by the central bank for actual and oral interventions, and the uncertainty climate of the market captured by two volatility measures. Our results suggest that the induced effect of a transparent cbi policy on market rumors critically depends on the type of speeches made by officials.
Original languageEnglish
Pages (from-to)94-111
Number of pages18
JournalJournal of International Financial Markets, Institutions & Money
Volume19
Issue number1
DOIs
Publication statusPublished - 1 Jan 2009

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