Monetary policy, foreign exchange intervention, and the exchange rate in a unifying framework

• 成果类型: Article
• 署名作者: Kim, S
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00028-4
• 发表日期: 2003
• 页码: 355-386
• 关键词: foreign exchange intervention; monetary policy; structural VAR; Exchange rate; Reaction function

摘要

The structural VAR model is developed to jointly analyze the effects of foreign exchange intervention and (money or interest rate setting) conventional monetary policy on the exchange rate, the two types of policy reactions to the exchange rate, and interactions between the two types of policies. First, many interactions among the two types of policies and the exchange rate are found, which suggests that a joint analysis is important. Second, foreign exchange intervention has substantial effects on the exchange rate, reacts to the exchange rate significantly (to stabilize the exchange rate), and signals future conventional monetary policy stance changes (to back up the intervention). This suggests the importance of modeling foreign exchange intervention explicitly in the study of monetary policy and exchange rate behaviors. Many other interesting results on the interactions among the two types of policies and the exchange rate are also documented. (C) 2002 Elsevier Science B.V. All rights reserved.