【介入に関して飛び交う情報📺】中央銀行による為替介入(CBI)政策が市場の噂に及ぼす影響について🌟：先行研究要約 No.12

今回は、中央銀行によるはっきりと分かりきった為替介入(CBI)政策が市場の噂に及ぼす影響について研究した先行研究について考察します

外国為替市場には、様々な噂が飛び交っていますし、政策当局からのアナウンスメントの仕方もいろいろあります

先月、日本の財務官より「介入はスタンバイ」といったような発言が公式にりましたが、実際には介入操作が行われていることはありませんでした

このように為替介入政策には、様々なパターンがあり、為替レートの水準、ボラティリティなどは市場参加者の噂や期待、アナウンスメントによって変化しうるのです

Conclusion
The paper investigates empirically the effect of a transparent CBI policy on rumors.

Using the case of Japan, we estimate a dynamic-probit model aimed at capturing the main determinants of false reports (i.e. falsely reported interventions) and anticipative rumors (i.e. rumors about future interventions) with reference to the intervention strategy adopted by the CB for actual and oral interventions, and the uncertainty climate of the market captured by two volatility measures.

We find that the induced effect of transparent CBI policy on market rumors depends on the type of statement issued by officials: oral interventions aimed at informing the market of the Japanese authorities’ point of view on the level or the volatility of exchange rates increase the probability of both types of rumors.

But statements aimed at confirming or providing some details about the operation the day it was carried out tend to decrease the probability of false reports.

This important result suggests that talking to the market in an appropriate way can remove at least some of the ambiguity that is associated with FX operations. This result fits with the previous evidence by Fratzscher (2004) and Beine et al. (2006).

We also find that the intervention strategy adopted by the CB has an impact on the occurrence of intervention rumors.
In particular, the fact that CBs tend to intervene in a clustered way leads the market participants to anticipate that the CB will probably intervene in the future and sometimes to detect the presence of the CB in the market which has not actually occurred.

However, the way the CB intervenes (alone or in concert with other CBs, with large or small operation) does not influence the probability of false reports. Another important result concerns the impact of market variables on the probability of rumors.

Periods of exchange rate misalignment are found to be associated with the emergence of both types of rumors.

Finally, we have seen that several jumps might be falsely interpreted by the market as the result of a CBI, leading to rumors of interventions.

Question 1
Does transparency in CBI policy (i.e. intervention strategy concerning actual and oral interventions) introduce noise into the market?

Literally “noise is contrasted with information” (Black, 1986).
In our context, we consider market rumors and more precisely rumors about CBI episodes as noise.

We make the distinction between false intervention reports (called false reports) – when the market mistakenly believes that a CB has intervened – and anticipative interventions rumors—news reporting the expectations of the market about a future intervention.

 These rumors are considered as potentially disturbing for the market because they affect currency values and increase the exchange rate volatility, as shown by Dominguez and Panthaki (2007).

Question 2
Do market factors, such as the misalignment of the exchange rate, volatility and jumps, influence the dissemination of these rumors?

The idea is that uncertainty in the FX market should have an influence on all types of market rumors (Schindler, 2007) and more specifically on intervention.

To this end, we developed a novel dataset, based on newswire service releases, to collect and classify different types of BoJ intervention news reports during the period 1991–2004.

We distinguished reported actual interventions, falsely reported interventions (false reports), anticipative reported interventions (anticipative rumors) and oral interventions (statements concerning the exchange rate and intervention policy).