Identifying the effects of central bank intervention
By: by Christopher J. Neely.
Contributors: Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2005-031A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2005-031A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2005
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Banks and banking, Central.; Foreign exchange rates.
Description: "Most intervention studies have been silent on the assumed structure of the economic system--implicitly imposing implausible assumptions--despite the fact that inference depends crucially on such issues.  This paper proposes to identify the cross-effects of intervention with the level and volatility of exchange rates using the likely timing of intervention, macroeconomic announcements as instruments and the nonlinear structure of the intervention reaction function.  Proper identification of the effects of intervention indicates that it is moderately effective in changing the levels of exchange rates but has no significant effect on volatility.  The paper also illustrates that such inference depends on paying careful attention to seemingly innocuous identification assumptions"--Federal Reserve Bank of St. Louis web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 7/12/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.