【為替レートのボラティリティ📊】通貨当局は外国為替市場の安定化に寄与しているだろうか？🌏：論文要約投稿 No.8 2023/11/17

今回、ご紹介する論文は「為替レートのボラティリティ」に関する研究になります

過去のデータにおいて、中央銀行（通貨当局）の介入は外国為替市場にどのような影響を与えてきたのでしょうか？

2022年から我が国が直面している歴史的な円安水準(1ドル=140～151円レベル)ですが、実際の介入が実施されたのか、どうかをリアルタイムで知ることは難しいです

すなわち、覆面介入(secret intervention)が外国為替市場にどのような影響をもたらしているのかについて、為替レートへの波及経路も含めた概要を理解することが大切になります💛

Abstract
This paper explores the effects of foreign exchange intervention by central banks on the behavior of exchange rates.
The G-3 central banks have undertaken an unprecedented number of both coordinated and unilateral intervention operations in the last 10 years.

Existing empirical evidence on the effectiveness of intervention is mixed: studies using data from the 1970s suggest that intervention operations that do not affect the monetary base have, at most, a short-lived influence on exchange rates, but more recent studies indicate that the intervention operations that followed the Plaza Agreement influenced both the level and variance of exchange rates.

This paper examines the effects of US, German and Japanese monetary and intervention policies on dollar-mark and dollar-yen exchange rate volatility over the 1977-1994 period.

The results indicate that intervention operations generally increase exchange rate volatility.

This is particularly true of secret interventions, which are those undertaken by central banks without notification of the public. Overt interventions in the mid-1980s appear to have reduced exchange rate volatility, but in other periods, and for the 1977-1994 period as a whole, central bank intervention is associated with greater exchange rate volatility.

Conclusions
The results described in the previous section indicate that changes in monetary policy and intervention policy often influence exchange rate volatility. Reverse causality tests, moreover, suggest that it is not volatility that causes intervention.

One of the more surprising results in the paper is that intervention need not be publicly known in order to influence volatility. Secret interventions were generally found to increase volatility. This result provides evidence in support of the hypothesis that the more ambiguous are signals, the more likely they are to increase volatility.

The evidence presented in this paper indicates that intervention had effects on volatility that are situation-specific.

The regression estimates suggest that secret central bank exchange rate policy did increase volatility, but secret interventions make up less than 23% of all intervention operations after 1985.

The bulk of secret interventions took place during the period 1977 through 1984, suggesting that one of the factors distinguishing the interventions in the first half of the sample period from the post-1985 interventions is the propensity for central banks to make their intervention operations public.

Reported central bank intervention over the full period generally led to an increase in daily and longer-term exchange rate volatility. However, the reported interventions in the mid-1980s led to reductions in volatility.

These results suggest that while it is apparently possible for central banks to reduce short-term exchange rate volatility using intervention policy, in practice they have rarely done so.

Regardless of whether interventions are made public, intervention operations may influence the domestic monetary base.
Non-sterilized intervention operations involve a change in the domestic monetary base; they are analogous to open-market operations except that foreign, rather than domestic, assets are bought or sold.

Sterilized operations involve an offsetting domestic asset transaction that restores the original size of the monetary base. The Federal Reserve Bank of New York is thought to fully and automatically sterilize its intervention operations on a daily basis. In practice, the foreign exchange trading room immediately reports its dollar sales to the open market trading room, which then sells enough bonds to leave the daily US money supply unaffected.

The Bundesbank also claims to sterilize their foreign exchange intervention operations routinely as a technical matter.
Nevertheless, the general perception is that both the Fed and the Bundesbank have at times allowed intervention operations to influence monetary aggregates - although the degree of monetary accommodation is limited to the extent that they both target their money supply growth.

The BOJ generally declines to provide information on its sterilization policy.

The standard monetary approach to exchange rate determination indicates that non-sterilized intervention will affect the level of the exchange rate in proportion to the change in the relative supplies of domestic and foreign money, just as any other form of monetary policy does. The effects of sterilized intervention are less direct and more controversial.

In portfolio-balance models of exchange rate determination investors diversify their holdings among domestic and foreign assets based both on expected returns and on the variance in returns.

According to the theory, as long as foreign and domestic assets are considered outside assets and are imperfect substitutes for each other in investor's portfolios, an intervention that changes the relative outstanding supply of domestic assets will require a change in expected relative returns."' This is likely to result in a change in the exchange rate.

The second channel through which sterilized intervention can affect the level of exchange rates is known as the signalling channel.

Intervention operations affect exchange rates through the signalling channel when they are used by central banks as a means of conveying (or signalling), to the market, inside information - information known to central banks but not the market ~ about future fundamentals
.
If market participants believe the central bank's intervention signals, then even though today's fundamentals do not change when interventions occur, expectations of future fundamentals will change.

When the market revises its expectations of future fundamentals, it also revises its expectations of the future spot exchange rate, which brings about a change in the current rate.