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8?8(
Table 1-1: Estimation results of the Japanese intervention functions (dependent variables: net dollar sales)
Changes in exchange rates of the previous day
Deviation from the target rate (125/$) of the previous day
Japanese intervention of the previous day
US intervention of the previous day
Variance of normal distribution ( σ )
2
+
Truncation at a higher point ( Θ )
−
Truncation at a lower point ( Θ )
The number of observations (2)
One day
in advance
41374.3
(475.21)
15800.4
(123.08)
0.8604
(0.0064)
9.1334
(0.1138)
979932.4
(325.05)
49210.5
(7.5430)
-6651.8
(27.443)
2777
Two days
in advance
26773.3
(385.40)
15862.7
(118.82)
0.8551
(0.0058)
5.5333
(0.0652)
964220.6
(308.30)
49201.0
(7.3133)
-6597.3
(26.743)
2762
Three days
in advance
43435.0
(557.87)
13872.2
(131.70)
0.9137
(0.0091)
6.8612
(0.0934)
972375.5
(334.57)
49316.1
(7.7350)
-7092.0
(29.227)
2757
Four days
in advance
70057.9
(728.47)
16109.8
(127.61)
0.8442
(0.0067)
7.2803
(0.0956)
977125.8
(328.93)
49210.8
(7.6509)
-6649.7
(27.872)
2754
Five days
in advance
93367.9
(844.30)
16561.5
(123.57)
0.6659
(0.0049)
7.2431
(0.0898)
985520.6
(318.05)
49197.2
(7.3733)
-6596.5
(26.678)
2758
(1) Standard errors are reported in parentheses.
(2) The number of observations is subject to differences in holiday schedules between Japan and the U. S.
18
Table 1-2: Estimation results of the US intervention functions (dependent variables: net dollar sales)
Changes in exchange rates of the previous day
Deviation from the target rate (125/$) of the previous day
Japanese intervention of the previous day
US intervention of the previous day
Variance of normal distribution ( σ )
2
+
Truncation at a higher point ( Θ )
−
Truncation at a lower point ( Θ )
The number of observations (2)
One day
in advance
-16194.4
(35.37)
6436.8
(13.94)
0.3522
(0.0008)
7.9423
(0.0172)
1663.76
(0.0696)
49576.7
(0.9212)
-7958.8
(4.442)
2910
Two days
in advance
11133.0
(41.13)
3743.4
(13.68)
0.6040
(0.0022)
1.7840
(0.0064)
1741.81
(0.0811)
49735.6
(0.9757)
-8723.6
(4.710)
2777
Three days
in advance
16706.4
(84.99)
2391.3
(12.18)
0.6528
(0.0034)
1.7036
(0.0089)
1829.65
(0.0785)
49829.2
(0.8849)
-9175.8
(4.270)
2762
Four days
in advance
3799.2
(17.34)
2258.5
(10.64)
0.6325
(0.0030)
-0.0169
(0.0000)
1823.95
(0.0226)
99877.3
(0.5883)
-8819.8
(5.658)
2757
Five days
in advance
23487.2
(188.16)
1764.7
(13.88)
0.6793
(0.0055)
-0.0178
(0.0000)
1833.30
(0.0804)
49887.9
(0.9020)
-9459.3
(4.350)
2754
(1) Standard errors are reported in parentheses.
(2) The number of observations is subject to differences in holiday schedules between Japan and the U. S
19
Table 2: Estimation results of forecast error equations of forward premium with GARCH specification
Constant term ( α1 )
Unpredictable components of Japanese intervention of coming five business days ( α 2 )
Predictable components of Japanese intervention of coming five business days ( α 3 )
Unpredictable components of US intervention of coming five business days ( α 4 )
Predictable components of US intervention of coming five business days ( α 5 )
GARCH characterization: Constant term ( v1 )
Lagged squared residual Coefficient (η )
Lagged conditional variance Coefficient ( λ )
Model 1
2.53 x E(-4)
(5.26 x E(-4))
2.24 x E(-7)***
(7.15 x E(-8))
1.96 x E(-7)
(1.24 x E(-7))
-2.22 x E(-5)***
(3.21 x E(-6))
-2.00 x E(-5)***
(5.18 x E(-6))
4.77 x E(-6)***
(4.86 x E(-7))
0.1016***
(8.21 x E(-3))
0.8473***
(9.86 x E(-3))
Model 2
5.76 x E(-3)***
2.03 x E(-3)
2.50 x E(-7)***
7.12 x E(-8)
2.49 x E(-7)**
1.21 x E(-7)
-2.48 x E(-5)***
(3.45 x E(-6))
-2.31 x E(-5)***
(5.33 x E(-6))
5.26 x E(-6)***
(5.20 x E(-7))
0.1073***
(8.95 x E(-3))
0.8362***
(0.0106)
Model 3
2.99 x E(-5)***
5.48 x E(-4)
6.96 x E(-4)
5.10 x E(-4)
-3.58 x E(-3)***
1.12 x E(-3)
-0.0104***
(1.24 x E(-3))
-8.08 x E(-3)
(6.35 x E(-3))
3.93 x E(-6)***
(4.39 x E(-7))
0.0856***
(8.22 x E(-3))
0.8663***
(0.0102)
Model 4
5.24 x E(-3)**
2.15 x E(-3)
5.20 x E(-4)
4.96 x E(-4)
-3.47 x E(-3)***
1.06 x E(-3)
-0.0110***
(1.24 x E(-3))
-0.0103
(6.62 x E(-3))
4.05 x E(-6)***
(4.54 x E(-7))
0.0865***
(8.54 x E(-3))
0.8643***
(0.0107)
-2.76 x E(-6)***
(6.10 x E(-7))
4.14 x E(-6)
(3.11 x E(-6))
-4.43 x E(-6)
(4.66 x E(-6))
-9.10 x E(-5)
(6.61 x E(-5))
-2.47 x E(-6)***
(6.17 x E(-7))
5.42 x E(-6)**
(2.62 x E(-6))
-5.93 x E(-6)
(4.68 x E(-6))
-1.01 x E(-4)
(6.33 x E(-5))
-0.6366***
(0.2469)
2296
General GARCH characterization:
Unpredictable components of Japanese intervention of coming five business days ( v2 )
Predictable components of Japanese intervention of coming five business days ( v3 )
Unpredictable components of US intervention of coming five business days ( v4 )
Predictable components of US intervention of coming five business days ( v5 )
GARCH-M parameter ( µ )
The number of observations
(1)
2296
-0.6656***
(0.2350)
2296
2296
E (n) implies 10− N .
(2) Standard errors are reported in parentheses.
(3) *, **, and *** implies the statistical significance of 10%, 5%, and 1% respectively.
(4) While the moving average structure of order of four is applied to the error structure to control for effects of overlapping periods, the above table does not report estimated
coefficients associated with these moving average components.
(5) In the estimation of Models 3 and 4, we use not the magnitude of interventions, but the indicator function that takes +1 (-1) in the case of positive (negative) net dollar sales.
20
Table 3: Prediction biases of forward discounts after adjustment of movements due to unpredictable interventions
Coefficients on forward discounts
Non-adjusted
-2.0259
(0.9662)
Adjusted by Model 1
-1.4094
(1.0948)
Adjusted by Model 2
-1.4055
(1.0962)
Adjusted by Model 3
-1.3465
(1.0934)
Adjusted by Model 4
-1.3432
(1.0955)
(1) Robust standard errors are reported in parentheses.
21
-10000
-20000
2003-AUG
2003-JAN
2002-JUN
2001-NOV
2001-APR
2000-SEP
2000-FEB
1999-JUL
1998-DEC
1998-MAY
1997-OCT
1997-
1996-AUG
1996-JAN
1995-JUN
1994-NOV
1994-APR
1993-SEP
1993-FEB
1992-JUL
1991-DEC
1991-MAY
Figure 1-1: Japanese Official Intervention
100 million yen
40000
30000
20000
10000
0
-30000
-40000
-50000
22
91
19 -MA
91 Y
19 -DE
92 C
19 - JU
93 L
1 9 - FE
93 B
19 -SE
94 P
19 - A
9 4 PR
19 - NO
95 V
19 - JU
96 N
19 - JA
96 N
19 - A
97 UG
19 -MA
97 R
19 -O
9 8 CT
19 -MA
98 Y
19 -DE
99 C
20 - JU
00 L
2 0 - FE
00 B
20 -SE
01 P
20 - A
0 1 PR
20 - NO
02 V
20 - JU
03 N
20 - JA
03 N
-A
U
G
19
million $
Figure 1-2: US Official Intervention
1000
500
0
-500
-1000
-1500
23
-5000
Actual interventions
2003-MAY
2002-NOV
2002-JUL
2002-FEB
2001-AUG
2001-APR
2000-OCT
2000-JUN
2000-JAN
1999-AUG
1999-
1998-SEP
1998-MAY
1997-DEC
1997-JUN
1997-FEB
1996-AUG
1996-APR
1995-OCT
1995-JUN
1995-JAN
1994-AUG
1994-
1993-OCT
1993-MAY
1992-DEC
1992-JUL
1992-
1991-SEP
1991-MAY
100 million yen
Figure 2: Japanese unpredictable intervention (one day ahead)
30000
25000
20000
15000
10000
5000
0
-10000
-15000
-20000
Unpredictable parts
24