Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19636| Title: | The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis |
| Keywords: | C10 F41 F31 ddc:330 foreign exchange intervention coordination channel market microstructure nonlinear mean reversion Wechselkurspolitik Internationale wirtschaftspolitische Koordination Devisenspekulation Devisenmarkt Mikrostrukturanalyse Schätzung Theorie Deutschland USA |
| Issue Date: | 16-Oct-2013 |
| Description: | The coordination channel has been proposed as a means by which foreign exchange market intervention may be effective, in addition to the traditional portfolio balance and signaling channels. If strong and persistent misalignments of the exchange rate are caused by non-fundamental influences, such that a return to equilibrium is hampered by a coordination failure among fundamentals-based traders, then central bank intervention may act as a coordinating signal, encouraging stabilizing speculators to re-enter the market at the same time. We develop this idea in the framework of a simple microstructural model of exchange rate movements, which we then estimate using daily data on the dollar-mark exchange rate and on Federal Reserve and Bundesbank intervention operations. The results are supportive of the existence of a coordination channel of intervention effectiveness. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19636 |
| Other Identifiers: | http://hdl.handle.net/10419/19636 ppn:51039289X RePEc:zbw:bubdp1:4245 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.