Sterilised central bank intervention in the foreign exchange market

• 成果类型: Article
• 署名作者: Vitale, P
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00065-8
• 发表日期: 1999
• 页码: 245-267
• 关键词: foreign exchange market; market micro-structure; signalling channel; sterilised intervention

摘要

We have studied the signalling role of sterilised foreign exchange intervention using a market micro-structure framework. We have assumed that the monetary authorities intervene in the foreign exchange market in order to target the value of a foreign currency. Since the fundamentals of the foreign currency are not necessarily equal to this objective, the central bank does not have an incentive to reveal its intervention operations and no announcement on its activity will be credible. Under these circumstances, secret sterilised intervention can be used to influences agents' expectations and exchange rates, as the central bank possesses private information on these fundamentals. A surprising result of our analysis is that while announcements on the objective of intervention are not credible, they are not even desirable. In fact, the foreign exchange market is more efficient when this objective is secret than when it is common knowledge, because in the former case the central bank is more aggressive and reveals more of its private information. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: D82; F31; G14; G15.