Information sharing and central bank intervention in the foreign exchange market

• 成果类型: Article
• 署名作者: Popper, H; Montgomery, JD
• 署名单位: Santa Clara University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00088-5
• 发表日期: 2001
• 页码: 295-316
• 关键词: foreign exchange; intervention; INFORMATION; Sharing; Exchange rates

摘要

This paper develops a model of information sharing among heterogeneously informed agents and it uses the model to examine a rationale for intervention in the foreign exchange market. The model shows that in a partially revealing rational expectations equilibrium, some agents can gain by sharing among themselves private information about transitory exchange rate disturbances. In this setting, a central bank can affect the exchange rate by aggregating and disseminating agents' information. The paper also illustrates the usefulness of intervention as a way to transmit that information. (C) 2001 Elsevier Science B.V. All rights reserved.