آیا مداخله در بازار ارز خارجی باعث تغییر انتظارات سرمایه گذاران می شود؟ تجربه ژاپن بین سال های 1992 و 2004

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on over-the-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.

The effectiveness of central banks' foreign exchange (FX) interventions has given rise to an important debate. Theoretically, a sterilized intervention is likely to affect agents' expectations and the level of the exchange rate according to three channels (Sarno and Taylor, 2001): portfolio equilibrium (Dominguez and Frankel, 1993), the signal channel (Mussa, 1981), and the microstructure and noise-trading mechanisms (Lyons, 2001, Hung, 1997 and De Grauwe and Grimaldi, 2003). From an empirical point of view, the effectiveness of FX interventions has been far more controversial since the Jurgensen report (Jurgensen, 1983). It could even be argued that, until recently, there was a contradiction between the attitude of central banks and conclusions reached by academics. On the one hand, academics have often been highly skeptical about the effects of FX interventions with the exception of the periods surrounding the Plaza Accord and the Louvre Accord, or under very specific conditions, mainly interventions that are announced publicly, coordinated and consistent with monetary and fiscal policies (see the surveys of Edison, 1993 and Sarno and Taylor, 2001). On the other hand, central banks have always made use of this tool of economic policy, thereby suggesting implicitly that from their point of view interventions do have an impact (Obstfeld and Rogoff, 1996). This point appears in fact quite markedly in the survey of central banks carried out by Neely (2001): while motivations to intervene are heterogeneous and there is no consensus about the horizon when the maximum effect is likely to be observed, no central bank believes in the ineffectiveness of interventions on exchange rates. Nevertheless, it is true that the monetary authorities of the main industrialized countries have significantly reduced their interventions since the nineties. A noteworthy exception is Japan as it has constantly intervened in foreign exchange markets, often massively and alone. Its presence was a well-known fact among currency traders and frequently reported by the financial press. However, information remained vague, as the Bank of Japan (BoJ) maintained secrecy about its interventions.1 This changed when, in July 2001, the BoJ decided to publish the track record of its interventions (dates, currencies concerned and amounts) since April 1991. Since then, the BoJ has steadily published information, with a slight lag, about its interventions. Undeniably, the publication of this information has led to a renewed interest in empirical studies about the effectiveness of FX interventions. To the best of our knowledge, the first to have used this database is Ito (2002). From a detailed analysis of the BoJ's interventions and its motivations, Ito reaches the conclusion that interventions have apparently been profitable and effective (notably since 1995). This conclusion has been broadly confirmed by other studies drawing on the same dataset.2 Among these studies, we can note the Fatum and Hutchison (2006) one which analyzes the effectiveness of BoJ's interventions using an event study approach, along the lines of Fatum (2000) and Fatum and Hutchison (2003).3 Such a methodology is attractive because, in contrast with the usual approaches based on time series, it is adapted to the sporadic and clustered nature of interventions. In particular, this methodology is well suited to incorporate the fact that there are separate intervention phases corresponding to separate intervention decisions based on a particular economic and market environment but that each phase can be characterized by different length.4 Furthermore, it is more flexible than standard time-series approach and allows testing in an easier way particular hypotheses such as reversals or smoothing tests of FX interventions (Fatum, 2000). In practice, the event study consists in isolating intervention phases and to analyze moves in exchange rates around these phases. While we also rely on an event study, our work differs significantly from Fatum and Hutchison (2006). Notably, we broaden the analysis to the second to fourth moments (variance, skewness and kurtosis) whereas Fatum and Hutchison (2006) only restrict their analysis to the equivalent of the first moment with the JPY/USD returns. The overwhelming majority of empirical studies have restricted themselves to the analysis of the impact of FX interventions on the first two moments (Sarno and Taylor, 2001). Such approach is limited for several reasons. First, market expectations description obviously does not amount to the first two moments only, except in a Gaussian world. Secondly, there is a practical interest both for authorities and market participants to have information for instance on asymmetry and the tails of the distribution after an intervention in FX markets: authorities may more precisely estimate the intervention impact on the basis on such information whereas investors can exploit them for risk management or asset valuation purposes (option pricing notably). Few studies have looked at higher moments of the distribution. The analysis of the BoJ's interventions has not been an exception to this rule.5 To the best of our knowledge, there are only two major exceptions. Another exception is Castrén (2004) in a paper written in parallel to ours. The author studies the impact of interventions on the JPY/USD market, both on this exchange rate and also on the complementary JPY/EUR and USD/EUR exchange rates. While like us the author relies on the Malz’s method to estimate the distribution of expectations, his study is limited to a standard time-series framework and, thus, is mostly similar to the work of Galati et al. (2005). In sharp contrast, we here analyze the impact of FX interventions on distribution of expectations in an event-study framework. Beine et al. (2004a) analyze the impact of the BoJ's interventions, jointly with those carried out by the Fed and the Bundesbank, from so-called “realized” measures of moments and cross-moments.6 Note however that the authors focus on the first three moments and primarily on the DEM/USD parity whereas the BoJ has mainly intervened on the JPY/USD (see below). Following the previous studies carried out by some of these authors (Galati and Melick, 1999), Galati et al. (2005) have proposed an analysis of the impact of the BoJ's interventions on the four first moments of the risk-neutral distribution (RND) drawn from the observation of option prices. The deduction of the RND from options has imposed itself as a major tool for monitoring the market's perception of forthcoming changes in asset prices due to their informative and forward-looking nature.7 At the end of a very detailed study (taking into account the endogeneity bias, the impact of other macroeconomic news, etc.), Galati et al. (2005) come to the conclusion that there is no significant impact from the BoJ's interventions on the first four moments of the RND. Our study naturally extends that carried out by Galati et al. (2005). In the end, the novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions8: (i) drawing on options data to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events, and carrying out an event study which is more appropriate given the nature of interventions, instead of an approach drawing on regressions. Moreover, (i) to deal with features of the data (small sample size, non-standard distribution), we extend the basic methodology by judging significance through a bootstrap ; the bootstrap is a very general re-sampling technique that allows to construct, under the null hypothesis, an empirical distribution of a statistic and its attractiveness when dealing with small samples and/or non-standard distributions (i.e. asymmetrical or with fat tails), as is the case for exchange rates, is widely acknowledged9; (ii) we adopt a technique for the deduction of RND that is probably better adapted to the nature of the option data available in over-the-counter (OTC) FX markets ; (iii) we consider the period 2001–2004 that led to an acceleration in the BoJ's interventions. Our results significantly point to the effectiveness of the BoJ's interventions. In line with Fatum and Hutchison (2006), we show that dollars purchases (sales) are reflected by an appreciation (depreciation) of the dollar or, equivalently, an increase (decrease) in the first moment — the JPY/USD forward rate. In consistency with Fatum and Hutchison (2006) study but contrary to Galati et al. (2005), we find that dollars purchases (sales) provoke an increase in skewness in the direction of a greater likelihood granted to a future rise (decline) in the dollar than to a fall (rise). We also show that interventions can sometimes lead to a decrease in variance, meaning they display stabilizing features in the medium term but that this result is ambiguous and depends on circumstances. Conversely, kurtosis seems insensitive to interventions. Furthermore, we also show that: (i) coordination increases effectiveness of interventions; (ii) the impact of interventions on moments is apparently not linked to the presence of major economic and political news (such as reflected by stock market volatility). The rest of the paper is organized as follows. The next section carries out a general overview of the BoJ's interventions since the early nineties. Section 3 presents our methodology and the data. Section 4 presents the basic results, in other words the impact of interventions on the moments of the JPY/USD RND. Section 5 considers various extensions, that is the impact of coordination and the sensitivity to the simultaneous dissemination of news. Finally, the last section concludes our study.

In this article, we have analyzed the impact of the BoJ's official interventions on the first four moments of the distribution of market (risk-neutral) expectations on the JPY/USD exchange rate. Following Fatum and Hutchison (2006), we have favored an approach based on event studies, far more adapted to the nature of intervention data (as they occur in clusters) than the conventional time series approach. Our results clearly show that the BoJ's interventions can be deemed effective. We show that purchases (sales) of dollars are reflected by an increase (decrease) in the first moment — the JPY/USD forward rate, which is consistent with previous evidence by Fatum and Hutchison (2006). We also show that interventions have clear and significant effects on skewness, in line with the direction of interventions. This result, which is in sharp contrast with Galati and Melick (1999) and Galati et al. (2005) ones, is important as it shows that interventions have not only direct effects on the level of the exchange rate but also orientate expectations towards future changes in the same direction. In line with previous literature (Beine, 2003, Beine et al., 2003 and Dominguez, 2006), we also find that results are ambiguous regarding volatility and depend on the horizon, the direction of intervention and the simultaneous release or not of other news (as measured via stock market volatility). Conversely, kurtosis appears to be insensitive to interventions. Several extensions of this work could be considered. First, it would be interesting to use other methods to estimate moments. In particular, parametric measures could be proposed, such as for example for skewness via the estimate of asymmetrical Student distribution (Hansen, 1994). Second, we have restricted this study to the first four moments. It could be interesting to test the modification of the RND as a whole. Third, one could also try to investigate the sensitivity of the results to recent aspects of Japanese interventions and notably the questions of sterilization (Fatum and Hutchison, 2004) and secrecy of interventions (Beine and Lecourt, 2004 and Gnabo and Lecourt, 2004).