LEARNING ABOUT INTERVENTION TARGET ZONES

• 成果类型: Article
• 署名作者: KLEIN, MW; LEWIS, KK
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(93)90020-X
• 发表日期: 1993
• 页码: 275-295

摘要

This paper provides a framework for evaluating how market participants' beliefs about foreign exchange target zones change as they learn about central bank intervention policy. We generalize the standard target-zone model to allow for intra-marginal intervention. Intra-marginal intervention implies that market participants' beliefs about the target zone can be determined from their beliefs about the likelihood of intervention. We then estimate a daily probability of intervention model for the period following the Louvre Accord. We find that the market's views of intervention target zones would have varied quite a bit over time even over this relatively stable period.