INTERVENTION AND SIGNALING: INTERACTION BETWEEN CENTRAL BANKS AND FX MARKETS IN EMERGING MARKET

被引：1

作者：

Goyal, Ashima ^{[1
]}

机构：

[1] Indira Gandhi Inst Dev Res, Gen Vaidya Marg, Bombay 400065, Maharashtra, India

来源：

SINGAPORE ECONOMIC REVIEW | 2017年 / 62卷 / 01期

关键词：

FX markets; market microstructure; central bank intervention; signaling; emerging; markets; FOREIGN-EXCHANGE MARKET;

D O I：

10.1142/S0217590816500326

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper analyzes the effectiveness of intervention and of signals on future intervention on the foreign exchange market of an emerging market (EM) facing large capital flows. A model of strategic interaction between speculators and the Central Bank shows the speculative demand curve to be downward sloping under greater uncertainty about fundamentals, which is common in EMs. Tests with Indian data confirm a stable speculative demand curve. The domestic currency appreciates when net dealer demand is positive. Intervention influences exchange rate levels and volatility. Anticipated intervention decreases dealer turnover, so expectations are stabilizing and signals on future intervention effective.

引用

页码：193 / 225

页数：33

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