Exchange rate management in emerging markets: Intervention via an electronic limit order book

• 成果类型: Article
• 署名作者: Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik
• 署名单位: Barclays; Leibniz University Hannover
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.06.008
• 发表日期: 2009
• 页码: 54-63
• 关键词: Foreign exchange market microstructure; Limit order book; Electronic crossing network; Exchange rate intervention

摘要

This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We also show for intraday data that the price impact of interbank order flow is smaller on intervention days than on non-intervention days. These stabilizing effects, however, rely on the conditions of large currency reserves and the existence of capital controls; an electronic market seems to support this goal. (C) 2009 Elsevier B.V. All rights reserved.