The impact of FX central bank intervention in a noise trading framework

被引：25

作者：

Beine, Michel ^{[1
,2
,3
]}

De Grauwe, Paul ^{[4
]}

Grimaldi, Marianna ^{[5
]}

机构：

[1] Univ Luxembourg, Luxembourg, Luxembourg

[2] Univ Brussels, Brussels, Belgium

[3] CES Ifo, Luxembourg, Luxembourg

[4] Katholieke Univ Leuven, B-3000 Louvain, Belgium

[5] Sveriges Riksbank, SE-10337 Stockholm, Sweden

来源：

JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 07期

关键词：

FX markets; Central bank intervention effectiveness; Chartist-fundamentalist regimes; Signalling channel; EXCHANGE-RATE DYNAMICS;

D O I：

10.1016/j.jbankfin.2008.11.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

in this paper, we analyse the effectiveness of the direct central bank interventions using a new effectiveness criterion. To this aim, we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a fundamental value. Then, we investigate the role of central bank interventions for explaining the switching properties between the two types of agents. We find evidence that in the medium run, interventions increase the proportion of fundamentalists and therefore exert some stabilizing influence on the exchange rate. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：1187 / 1195

页数：9

共 28 条

[1] A friction model of daily Bundesbank and Federal Reserve intervention [J].