| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9062 |
| 来源ID | Working Paper 9062 |
| Identifying the Efficacy of Central Bank Interventions: The Australian Case | |
| Jonathan Kearns; Roberto Rigobon | |
| 发表日期 | 2002-07-11 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | The endogeneity of exchange rates and intervention has long plagued studies of the effectiveness of central banks actions in foreign exchange markets. Researchers have either excluded contemporaneous intervention, so that their explanators are predetermined, or obtained a small, and typically incorrectly signed, coefficient on contemporaneous intervention. Failing to account for the endogeneity, when central banks lean against the wind and trade strategically, will likely result in a large downward bias to the coefficient on contemporaneous intervention -- explaining the negative coefficient frequently obtained. We use an alternative identification assumption, a change in Reserve Bank of Australia intervention policy, that allows us to estimate, using simulated GMM, a model that includes the contemporaneous impact of intervention. There are three main results. Our point estimates suggest that central bank intervention has a economically significant contemporaneous effect. A $US100m purchase of the domestic currency will appreciate the exchange rate by 1.35 to 1.81 per cent. This estimate is remarkably similar to the calibration conducted by Dominguez and Frankel (1993), who themselves noted their estimate was larger than previous empirical findings. Secondly, the vast majority of the effect of an intervention on the exchange rate is found to occur during the day in which it is conducted, with only a smaller impact on subsequent days. Finally, we confirm findings that Australian central bank intervention policy can be characterized by leaning aginst the wind. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w9062 |
| 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/566671 |
| 推荐引用方式 GB/T 7714 | Jonathan Kearns,Roberto Rigobon. Identifying the Efficacy of Central Bank Interventions: The Australian Case. 2002. |
| 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 | ||
| w9062.pdf（308KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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