| 期刊詳細資料 Journal detailed information |
| 作者(Author) | Chen, Chih-Nan, Watanabe, Tsutomu & Yabu. Tomoyoshi |
| 篇名(Article title) | A new method for identifying the effects of foreign exchange interventions |
| 期刊名(Journal name) | Journal of Money Credit and Banking |
| 國際期刊(International Journal) | SSCI |
| 中文摘要(Abstrct) | |
| ABSTRCT | Central banks react even to intraday changes in the exchange rate; however, in most cases,
intervention data is available only at a daily frequency. This temporal aggregation makes it
difficult to identify the effects of interventions on the exchange rate. We apply the Bayesian
MCMC approach to this endogeneity problem. We use “data augmentation” to obtain intraday intervention amounts and estimate the efficacy of interventions using the augmented data.
Applying this new method to Japanese data, we find that an intervention of one trillion yen
moves the yen/dollar rate by 1.8 percent, which is more than twice as much as the magnitude
reported in previous studies applying OLS to daily observations. This shows the quantitative
importance of the endogeneity problem due to temporal aggregation. |
| 中文關鍵字(Keyword) | |
| KEYWORD | foreign exchange intervention; intraday data; Markov-chain Monte Carlo method;
endogeneity problem; temporal aggregation |
| 卷期(Volume No) | Vol. 44 No. 8 |
| 頁數(Page number) | pp. 1507~1533 |
| 年份(Year) | 2012 |
| 語言(Language) | 英文 English |