Exchange-rate Intervention and the Timing of Volatility: Evidence from Japan

Abstract

Using 69 Japanese intervention episodes, this paper separates event-day USD/JPY squared-return risk from subsequent windows. Frozen multiplicity-adjusted tests detect neither pooled level differences nor delayed risk transfer; their intervals permit positive transfer. The pooled twenty-day mean log ratio satisfies a pre-specified equivalence criterion. Four 2022–2024 yen-purchase episodes drive a descriptive historical contrast that the spring-2026 holdout does not reproduce. These selected-event estimates are noncausal. The findings distinguish directional currency adjustment from horizon-specific risk stabilization and clarify what intervention outcomes can be inferred from daily data.

Author abstract from the research manuscript. Typography and line breaks have been normalized; the linked source may show a different manuscript version.