Beine, Michel, de Grauwe, Paul and Grimaldi, Marianna (2009) The impact of FX central bank intervention in a noise trading framework. Journal of Banking and Finance, 33 (7). pp. 1187-1195. ISSN 0378-4266
Full text not available from this repository.Abstract
In this paper, we analyse the effectiveness of the direct centralbankinterventions using a new effectiveness criterion. To this aim, we investigate the effects of centralbankinterventions (CBI) in anoisetrading 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 centralbankinterventions 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.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/journal-of-bankin... |
| Additional Information: | © 2009 Elsevier |
| Divisions: | European Institute |
| Subjects: | H Social Sciences > HC Economic History and Conditions J Political Science > JZ International relations |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General F - International Economics > F3 - International Finance > F31 - Foreign Exchange F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics |
| Date Deposited: | 05 Oct 2012 13:19 |
| Last Modified: | 22 Apr 2024 04:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/46595 |
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