Effect of foreign exchange interventions on volatility of dollar/yen exchange rate
Effect of foreign exchange interventions on volatility of dollar/yen exchange rate
diplomová práce (OBHÁJENO)
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Trvalý odkaz
http://hdl.handle.net/20.500.11956/86337Identifikátory
SIS: 179391
Kolekce
- Kvalifikační práce [17128]
Autor
Vedoucí práce
Oponent práce
Dědek, Oldřich
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
Institut ekonomických studií
Datum obhajoby
21. 6. 2017
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Velmi dobře
Klíčová slova (anglicky)
foreign exchange rate, volatility, intervention, regime, GARCH modelJapanese monetary authorities used to employ various intervention techniques to adjust the level of the dollar/yen exchange rate and reduce its volatility. Application of the GARCH-in- mean model for estimation of the effect of these operations demonstrates that depreciating interventions reduced volatility effectively from 1995 until 2002. Frequent interventions of the small scale had a tendency to increase volatility during period 1991-1995. Foreign exchange interventions conducted by US Fed have increasing, means negative, effect, on the conditional variance. Frequent interventions of the great scale do not affect the volatility; it is determined mostly by the persistent level of the conditional variance from the latter periods. Recent interventions conducted by the Bank of Japan after the financial crisis do not show any considerable effect on both the volatility and the level of the exchange rate.