The Effectiveness of Foreign Exchange Intervention:New Evidence from IV-GARCH Estimations
使用Tobit模型构建央行反应函数，并引入新工具变量修正GARCH估计偏差，发现日本央行的关注点从日元/美元偏离转向短期升值，同时汇率波动加剧带来额外货币风险。
The effectiveness of foreign exchange intervention is a critical problem throughout the processes of the strategic decision,conduct and assessment The paper applies Tobit analysis method to build up a central bank's reaction function,and construct a new instrumental variable to correct the bias error in GARCH model on assessing effectiveness of foreign exchange intervention.The empirical results indicate that the main concern of Bank of Japan shifts from JPY/USD deviation to short-time appreciation,along with the unavoidable augment on exchange rate volatility,which brings the additional currency risk.