Same Yen Move, Different Shock: A Mechanism-Separated Design for FX Intervention, Monetary Repricing, and Carry Unwinds

Abstract

This design paper starts from a simple empirical difficulty: the same yen appreciation can be produced by very different shocks. Market commentary often compresses official intervention, a carry-trade unwind, JGB repricing, and a broad dollar move into one narrative. That compression is precisely what the paper asks the data to resist. It separates confirmed yen-buying intervention, intervention anticipation without an executed transaction, Bank of Japan monetary-policy repricing, and global dollar or risk shocks. The design combines official intervention records with high-frequency USD/JPY prices, JGB yields across the curve, interest-rate expectations, option-implied risk measures, and returns on representative carry targets. Its empirical question is whether these mechanisms leave different intraday signatures, cross-asset responses, and persistence profiles. Intervention entry, immediate impact, and persistence are separate estimands; a carry claim must also identify the funding leg, target asset, holding horizon, and realized return condition. The 2026 episode—including the record ¥15.3993 trillion monthly intervention total and a subsequent sharp yen appreciation without confirmed intervention—provides the motivation. The historical date–amount audit is complete, but causal inference remains conditional on execution-time measurement and the limits of the available comparison design. The first implementation supplies a 5-minute market-data diagnostic for seven 2022–2024 operation dates and a daily cash-carry panel with explicit funding and target legs. The intraday diagnostic identifies market-implied breaks, not official transaction timestamps.

Author abstract from the research manuscript. Typography and line breaks have been normalized; the linked source may show a different manuscript version.