Order Flow and Central Bank Intervention: An Empirical Analysis of Recent Bank of Japan Actions in the Foreign Exchange Market
Order Flow and Central Bank Intervention: An Empirical Analysis of Recent Bank of Japan Actions in the Foreign Exchange Market
复制标题
订单流与央行干预：日本央行近期外汇市场行动的实证分析
DOI：
10.2139/ssrn.942805
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
I. Marsh
中科院分区：
文献类型：
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作者：
I. Marsh
本文研究了日本银行在大规模干预活动期间外汇市场上最终用户订单流的行为。首先，我们发现非常有限的证据表明，在日本央行干预抛售日元的日子里，企业客户比通常情况下更有可能成为日元的净卖家。然而，有更有力的证据表明，金融客户更有可能在同一天成为日元的净买家。第二，我们发现非常明确的证据表明，在微观结构分析中干预很重要。在日本央行干预的日子里，订单流和汇率变化之间的强同期相关性基本上消失了。
This paper examines the behaviour of end-user order flows in the foreign exchange market around periods of intense and large-scale intervention activity by the Bank of Japan. First, we find very limited evidence that corporate customers are more than usually likely to be net sellers of yen on days when the Bank of Japan is intervening to sell yen. However, there is somewhat stronger evidence that financial customers are more likely to be net buyers of yen on the same days. Second, we find very clear evidence that intervention matters in a microstructure analysis. The strong contemporaneous correlation between order flows and exchange rate changes essentially disappears on days in which the Bank of Japan intervenes.
DOI：
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发表时间：
2003
期刊：
Paul Mizen (ed. )“Monetary History, Exchange Rates and Financial Markets"
影响因子：
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作者：
中野守・丸尾直美;他著;KUME Takashi;Takatoshi Ito
通讯作者：
Takatoshi Ito
干预措施与日本经济复苏
DOI：
--
发表时间：
2005
期刊：
International Economics and Economic Policy 2/2-3
影响因子：
--
作者：
田中啓一;丸尾直美;三橋博巳;田中正秀;明野斉史;Takatoshi ITO
通讯作者：
Takatoshi ITO