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KAKEN_23730216seika.pdf
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:Dec 11, 2014 |
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Title |
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為替介入効果の検証
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Kana |
カワセ カイニュウ コウカ ノ ケンショウ
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Romanization |
Kawase kainyu koka no kensho
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The effectiveness of foreign exchange intervention in Japan
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藪, 友良
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Kana |
ヤブ, トモヨシ
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Romanization |
Yabu, Tomoyoshi
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Affiliation |
慶應義塾大学・商学部・准教授
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Research team head
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科研費研究者番号 : 90463819
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2014
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科学研究費補助金研究成果報告書
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2013
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Abstract |
世界中の大震災と為替変動との関係を調べたところ、大震災直後には為替レートのボラティリティが上昇する傾向があることが確認された。また、1920年代の日次介入額を記録した帳簿を整理することで、関東大震災当時の為替介入の効果を分析した。その結果、介入は為替レートのボラティリティを減少させる有意な効果があることが分かった。また、介入の反応関数を分析したところ、介入は為替レートを安定させる目的でなされていたことが分かった。
The Great East Japan Earthquake in 2011, as well as the Great Hanshin-Awaji Earthquake in 1995 and the Great Kanto Earthquake in 1923, resulted in disorderly movements of yen in the foreign exchange market. We investigate the exchange rate volatility shift after these three great earthquakes in Japan and examine if similar excess volatility after major earthquakes can also be observed in other countries. In addition, using a unique daily data set from the Great Kanto Earthquake period, the episode with the largest increased volatility among all three great earthquakes, we estimate a reaction function of foreign exchange market intervention, and evaluate the role of government intervention in stabilizing the foreign exchange market during the time of increased uncertainty caused by a large unexpected negative shock in the economy.
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研究種目 : 若手研究(B)
研究期間 : 2011~2013
課題番号 : 23730216
研究分野 : 社会科学
科研費の分科・細目 : 経済学・経済統計学
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