基于事件分析的日本央行外汇干预有效性研究  

A Study on Foreign Exchange Intervention Efficiency of Japan's Central Bank Based on Event Analysis

作　　者：王霞[1] 

机构地区：[1]兰州商学院金融学院,甘肃兰州730020

出　　处：《现代日本经济》2013年第5期27-38,共12页Contemporary Economy OF Japan

基　　金：教育部新世纪人才计划"中国外汇市场压力问题研究"(NCET-11-0907)

摘　　要：本文利用1991年4月1日～2011年12月28日期间日本中央银行外汇干预的日度数据、采用事件分析法对日本央行外汇干预的有效性进行了研究。结果发现，总体而言，日本央行采取逆风向的外汇干预政策时对汇率走势产生了较大的影响，熨平了汇率波动，外汇干预是有效的。但干预效果具有不对称性：一方面，日本央行卖出美元和买入美元的干预效果具有不对称性；另一方面，联合干预和单独干预的效果具有不对称性。此外，日本外汇市场干预的有效性受到干预方式的影响，央行低频率干预比高频率干预效果更好。Using the daily data of foreign exchange intel-vention of Japan~ central bank from April 1,1991 to December 28, 2011, this paper analyzes foreign exchange intervention efficiency of Japan ＂s Central Bank based on event analysis. The results show that in general leaning against the wind foreign exchange interven- tion policies have stronger impact on the exchange rate, which smoothes the exchange rate movements, and the policies are effective. However, the effects of intervention are asymmetric. On one hand, intervention effects are asymmetric between selling dollars and buying dollars by bank of Japan; on the other, the joint intervention and separate intervention effects are asymmetric. In addition, the methods of intervention would affect the effects of policies, the effects of low frequency intervention is better than the high.

关 键 词：央行干预 日本银行 汇率 有效性 事件分析 

分 类 号：F833.313.6[经济管理—金融学]