【完全には不胎化されない介入】どのような目的を持って"介入政策"という手段を駆使するのか？🌟論文要約 No.5 2023/11/01

From the beginning of 2003 to the spring of 2004, Japan’s monetary authorities conducted large-scale yen-selling/dollar-buying operations in what Taylor (2006) has labeled the “Great Intervention.”

This paper examines the relationship between this “Great Intervention” and the quantitative easing policy the Bank of Japan was pursuing at that time.

First, we find that about 40 percent of the yen funds supplied to the market by yen-selling interventions were not offset by the BOJ’s monetary operations and remained in the market for a while; this is in contrast with the preceding period, when almost 100 percent were immediately offset.

Second, comparing interventions and other government payments, the extent to which the funds were offset was much smaller in the case of interventions, suggesting that the BOJ differentiated between, and responded differently to, interventions and other government payments.

These two findings indicate that it is likely that the BOJ intentionally did not sterilize yenselling interventions to achieve its policy target of maintaining the current account balances of commercial banks at the BOJ at a high level.

Finally, we find that an unsterilized intervention had a greater impact on the yen–dollar rate than a sterilized one, suggesting that it matters whether an intervention is sterilized or not even when the economy is in a liquidity trap.

Conclusion
Using daily data on foreign exchange interventions and current account balances at the Bank of Japan, this paper examined the relationship between interventions and monetary policy during the period from January 2003 to March 2004.

The findings can be summarized as follows. First, roughly 60 percent of the funds supplied to the market through yen-selling foreign exchange interventions were offset (i.e., sterilized) by monetary operations by the Bank of Japan, while the remaining 40 percent were not offset. Moreover, the funds that were not offset remained in the market for some time.

This result contrasts with the situation before this period, when 100 percent of the funds of foreign exchange interventions were offset, showing that the extent to which interventions were not sterilized during January 2003–March 2004 was quite considerable.

Second, comparing yen funds supplied through foreign exchange interventions and yen funds supplied through other government payments (such as pension payments), we found that the extent to which funds remained in the market was greater, and the time span longer, in the case of the former than the latter.

This suggests that the BOJ in its monetary operations distinguished between foreign exchange interventions and other government payments.

Third, an unsterilized yen-selling intervention had a greater impact on the exchange rate than a sterilized one during this period, indicating that it matters whether an intervention is sterilized or not even when the economy is in a liquidity trap.

This result suggests that market participants updated their expectations about future money supply based on the observation that yen-selling interventions were not fully sterilized.