| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8356 |
| 来源ID | Working Paper 8356 |
| Portfolio Balance, Price Impact, and Secret Intervention | |
| Martin D. D. Evans; Richard K. Lyons | |
| 发表日期 | 2001-07-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This paper tests the portfolio-balance approach to exchange rate determination in a new way. Past work on portfolio balance in foreign exchange falls into two groups: (1) tests using measures of asset supply and (2) tests using measures of central-bank asset demand. We address the demand side, but we use a broad measure of public demand, rather than focusing on demand by central banks. Under floating rates, changing public demand has no direct effect on interest rates, current or future. This provides an opportunity to test for portfolio-balance effects on price. We develop and estimate a micro portfolio-balance model that has both Walrasian and microstructure features. Portfolio-balance effects are clearly present: the immediate price impact of public trades is 0.44 percent per $1 billion (of which, about 80 percent persists indefinitely). This estimate is applicable to central-bank trades as well, as long as they are sterilized, secret, and provide no monetary-policy signal. Intervention of this type is most effective when the flow of macroeconomic news is strong. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w8356 |
| 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/565958 |
| 推荐引用方式 GB/T 7714 | Martin D. D. Evans,Richard K. Lyons. Portfolio Balance, Price Impact, and Secret Intervention. 2001. |
| 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 | ||
| w8356.pdf（293KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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