کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090402 1375630 2009 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of FX central bank intervention in a noise trading framework
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The impact of FX central bank intervention in a noise trading framework
چکیده انگلیسی
In this paper, we analyse the effectiveness of the direct central bank interventions using a new effectiveness criterion. To this aim, we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a fundamental value. Then, we investigate the role of central bank interventions for explaining the switching properties between the two types of agents. We find evidence that in the medium run, interventions increase the proportion of fundamentalists and therefore exert some stabilizing influence on the exchange rate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 7, July 2009, Pages 1187-1195
نویسندگان
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