Discussion Paper Series 2006-E-3

An Assessment of Weymark's Measures of Exchange Market Intervention: The Case of Japan

Shiu-Sheng Chen, Kenshi Taketa

This paper assesses the validity of the index of foreign exchange market intervention proposed by Weymark (1997, JIMF). We construct the Weymark index for Japan and then compare it with Japanese public intervention data to evaluate its performance. The results suggest that research using the Weymark index should be interpreted with caution.

Keywords: Exchange market intervention, Japanese exchange market

Views expressed in the paper are those of the authors and do not necessarily reflect those of the Bank of Japan or Institute for Monetary and Economic Studies.

Copyright © 2006 Bank of Japan All Rights Reserved.

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