【大規模な介入のインパクト🔥】ゼロ金利下の為替介入は本当に効果があると言えるのだろうか？🌎先行研究要約No.4 2023/10/30

Conclusion
Exchange rate movements over the second quarter of 2003 do suggest that the extensive foreign exchange intervention has had at least temporary effects.

For the first eight months of the year, there has been unprecedented stability in the yen-dollar: its rate remained between 115 and 122 yen to the dollar.

This is the narrowest trading band these currencies have exhibited since the breakdown in the Bretton Woods system, indicating that the rates moved in the direction intended by the intervention activity.

Moreover, the yen-euro rate moved in exactly the opposite direction that would be expected given the news emerging from those areas during this period.

The empirical evidence, therefore, appears to support the contention that foreign exchange intervention achieved some success in the early portion of the year, despite the near-zero nominal interest rates.

Even in this case, however, the effects appear to be temporary.

The depreciation of the yen relative to the euro that was achieved through the extensive foreign exchange intervention efforts in the early half of the year was completely offset by the end of August.

Moreover,the yen appreciated dramatically against the dollar after the cessation of intervention activity around the time of the September G-7 meeting in Dubai;however,the resumption of intervention appears to have slowed this appreciation.

In 2003, the Bank of Japan (BOJ) intervened vigorously on behalf of the Ministry of Finance (MOF) in foreign exchange markets in efforts to reduce the value of the yen.

This action was motivated by the perception that an excessively rapid rise in the value of the yen would hinder the fledgling economic recovery by reducing the competitiveness of Japanese exports.Total foreign exchange intervention over the first ten months of 2003 amounted to over 17 trillion yen in assets, almost double the previous record for that length of time.

Several media reports claimed that these intervention efforts by the MOF were initially successful.

Some private analysts estimated that in the absence of intervention activity, the yen could have risen about 10% higher over the second quarter than it did.

This success, even over a period as short as a quarter, appears to pose a puzzle, because it runs counter to most economists’ expectations.

The evidence in the literature suggests that foreign exchange intervention is unlikely to have any lasting impact on exchange rates in economies with free capital mobility, such as Japan.

This would be particularly true for Japan,where the prevailing close-to-zero nominal short-term interest rates create ambiguity about the impact of foreign exchange intervention on the money supply.

Was Japan’s foreign exchange intervention sterilized, and does it matter?

In theory, sterilized foreign exchange interventions tend to be less effective at moving exchange rates than unsterilized interventions.

Sterilized intervention requires the central bank to follow the intervention, such as buying dollar assets with yen-denominated currency, with a countervailing sale of yen assets to mop up the extra yen that that would otherwise be injected into the economy.

Thus, the intervention would have no impact on the domestic money supply and would only alter the public’s relative supplies of available yen and dollar assets.

In the past, Japanese foreign exchange intervention was almost universally sterilized (Ito 2002).

Currently, the intervention would also be formally considered sterilized as the dollar purchases are financed by the sale of yen assets issued by the MOF.

Nevertheless,the media have characterized the recent interventions as “unsterilized” because the Japanese money supply has steadily increased along with the intensive intervention activity.

The Nikkei Financial Daily recently noted that the total value of interventions from the beginning of the year until the end of August matched almost exactly the increase in the BOJ’s current account balance over that period, suggesting that the BOJ left the funds associated with its intervention activity in the market.

However, there appears to be little correlation between these variables at higher frequencies, such as day-to-day data.

This sheds doubt on a one-to-one correspondence between intervention activity and movements in the BOJ current account balance.

Instead, it appears that the BOJ incorporates the foreign exchange intervention it conducts on behalf of the MOF into its overall portfolio of daily money market transactions.

The pursuit of foreign exchange intervention on behalf of the MOF therefore does not preclude the BOJ from achieving its domestic money supply targets, as the BOJ can maintain these targets by adjusting its other transactions accordingly.

More importantly,it is unclear that sterilization under near-zero nominal rates matters.

Traditionally, unsterilized intervention is considered likely to be more effective because it also expands the domestic money supply.

However, in Japan today, short-term securities appear to be nearly perfect substitutes for currency, so the expansion of the money supply need not have any additional impact on the economy.

In short, under near-zero short-term interest rates, an unsterilized intervention may be little different from a sterilized intervention (see, for example, Okina and Shiratsuka 2000).