Identifying the efficacy of central bank interventions: evidence from Australia and Japan

• 成果类型: Article
• 署名作者: Kearns, J; Rigobon, R
• 署名单位: Reserve Bank of Australia
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2004.05.001
• 发表日期: 2005
• 页码: 31-48
• 关键词: central bank intervention; Exchange rates; identification; heteroskedasticity

摘要

Using a model incorporating the endogenous relationship between exchange rates and intervention, we show how a change in central bank policy can be used as an identification assumption. Estimating this model with simulated GNM for daily data from Australia and Japan, we find that a US$100 million purchase appreciates the Australian dollar by 1.3-1.8% but the yen by just 0.2%. Almost all of the impact of an intervention occurs during the day it is conducted and we confirm that central banks typically lean against the wind. (c) 2004 Published by Elsevier B.V.