Central bank intervention and risk in the forward market

• 成果类型: Article
• 署名作者: Baillie, RT; Osterberg, WP
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00015-9
• 发表日期: 1997
• 页码: 483-497
• 关键词: Exchange rates; Central bank intervention; Risk premium; GARCH

摘要

A two country inter-temporal asset pricing model is developed which implies that central bank foreign exchange intervention affects the forward exchange risk premium. The model is estimated from daily foreign exchange intervention data for the US, German and Japanese central banks. Considerable empirical support is found for the theoretical model with intervention influencing the risk premium in the forward market. Purchases of dollars by the Federal Reserve Bank are found to be associated with excess $ denominated returns. There is evidence that intervention has increased rather than reduced exchange rate volatility.