The liquidity effects of foreign exchange intervention

• 成果类型: Article
• 署名作者: Ho, WM
• 署名单位: York University - Canada
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(03)00041-2
• 发表日期: 2004
• 页码: 179-208
• 关键词: foreign exchange market; sterilized and non-sterilized intervention; liquidity effects

摘要

This paper examines the effectiveness of foreign exchange intervention in a two-country, two-currency, general equilibrium model that allows for liquidity effects. Both sterilized and nonsterilized intervention operations have significant impacts on the allocation of liquidity in international financial markets. Whether intervention is successful in moving the exchange rate in the desirable direction depends upon the degree of sterilization of intervention and the intratemporal elasticity of substitution of the consumption goods. The model shows that there exist circumstances in which the response of exchange rate to intervention is 'perverse' as documented in the empirical literature. (C) 2003 Elsevier B.V. All rights reserved.