| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3299 |
| 来源ID | Working Paper 3299 |
| Does Foreign Exchange Intervention Matter? Disentangling the Portfolio and Expectations Effects for the Mark | |
| Kathryn M. Dominguez; Jeffrey Frankel | |
| 发表日期 | 1990-03-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | The time is ripe for a re-examination of the question whether foreign exchange intervention can affect the exchange rate. We attempt to isolate two distinct effects: the portfolio effect, whereby an increase in the supply of marks must reduce the dollar/mark rate (for given expected rates of return) and the additional expectations effect, whereby intervention that is publically known may alter investors expectations of the future exchange rate, which will feed back to the current equilibrium price. We estimate a system consisting of two equations, one describing investors' portfolio behavior and the other their formation of expectations, where the two endogenous variables are the current spot rate and investors' expectation of the future spot rate. We use relatively new data sources: actual daily data on intervention by the Bundesbank, newspaper stories on known intervention, and survey data on investors' expectations. We find evidence of both an expectations effect and a portfolio effect. The statistical significance of the portfolio effect suggests that even sterilized intervention may have had positive effects during the sample period. (It tends to be significant only during the later of our two sample periods, October 1984 to December 1987. That intervention appears less significant statistically during the earlier period, November 1982 to October 1984, could be attributed to the fact that little intervention was undertaken until 1985.) For the magnitude of the effects to be large requires that intervention be publically known. Our (still preliminary) estimates suggest that a typical $100 million of "secret" intervention has an effect of less than 0.1 per cent on the exchange rate, but that the effect of news reports of intervention can be as large as an additional 4 per cent. |
| 主题 | International Economics |
| URL | https://www.nber.org/papers/w3299 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560587 |
| 推荐引用方式 GB/T 7714 | Kathryn M. Dominguez,Jeffrey Frankel. Does Foreign Exchange Intervention Matter? Disentangling the Portfolio and Expectations Effects for the Mark. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3299.pdf（344KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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