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


    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
    Issue number1
    Publication statusPublished - 1 Jan 2009

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