Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case

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Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case

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Lindberg, Hans
Soderlind, Paul

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Paul Soderlind

Abstract

The intervention policy of the Swedish central bank is studied using daily intervention data for the late 1980s. In contrast to the first generation of target zone models, the authors find that the interventions occur all over the exchange rate band and almost every day. Based on this evidence, they estimate an exchange rate target zone model with intramarginal interventions. The results go a long way towards explaining the well-established hump-shaped exchange rate distribution and lack of nonlinearities. Copyright 1994 by The editors of the Scandinavian Journal of Economics.

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Publisher Info
Article provided by Blackwell Publishing in its journal Scandinavian Journal of Economics.

Volume (Year): 96 (1994)
Issue (Month): 4 ()
Pages: 499-513
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Handle: RePEc:bla:scandj:v:96:y:1994:i:4:p:499-513

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Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy. [Downloadable!]
Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society. [Downloadable!]
Peter Brandner & Harald Grech, 2002. "Why Did Central Banks Intervene in the EMS? The Post 1993 Experience," Working Papers 77, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
Peter Brandner & Harald Grech, 2002. "Why Did Central Banks Intervene in the EMS? The Post-1993 Experience," WIFO Working Papers 192, WIFO. [Downloadable!]
Timo Terasvirta, 2004. "A Time Series Model for an Exchange Rate in a Target Zone with Applications," Econometric Society 2004 Australasian Meetings 340, Econometric Society. [Downloadable!]
Other versions:
- Lundbergh, Stefan & Teräsvirta, Timo, 2003. "A time series model for an exchange rate in a target zone with applications," Working Paper Series in Economics and Finance 533, Stockholm School of Economics.
- Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609. [Downloadable!] (restricted)
Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS. The Post 1993 Experience," WIFO Working Papers 168, WIFO. [Downloadable!]
Other versions:
- Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience," Working Papers 55, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
- Brandner, Peter & Grech, Harald & Stix, Helmut, 2006. "The effectiveness of central bank intervention in the EMS: The post 1993 experience," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 580-597, June. [Downloadable!] (restricted)
Jess Rodr?uez L?ez & Hugo Rodr?uez Mendiz?al, 2002. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," UFAE and IAE Working Papers 518.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002. "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," THEMA Working Papers 2002-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
Other versions:
- Gilles DUFRENOT & Laurent MATHIEU & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration," International Finance 0309003, EconWPA. [Downloadable!]
- Gilles Dufrénot & Laurent Mathieu & Valérie Mignon & Anne Péguin-Feissolle, 2006. "Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration," Applied Economics, Taylor and Francis Journals, vol. 38(2), pages 203-229, February. [Downloadable!] (restricted)
Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2006. "The optimal degree of exchange rate flexibility: A target zone approach," Working Papers 06.22, Universidad Pablo de Olavide, Department of Economics. [Downloadable!]
Other versions:
- Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2007. "The Optimal Degree of Exchange Rate Flexibility: a Target Zone Approach," Review of International Economics, Blackwell Publishing, vol. 15(4), pages 803-822, 09. [Downloadable!] (restricted)
Ribeiro de Castro, Claudia, 1999. "Inside and Outside the Band Exchange Rate Fluctuations for Brazil," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2002. "On the Choice of an Exchange Regime: Target Zones Revisited," Economic Working Papers at Centro de Estudios Andaluces E2002/10, Centro de Estudios Andaluces. [Downloadable!]
Arturo José Galindo, 1998. "Estimating Credibility In Colombia'S Exchange Rate Target Zone," BORRADORES DE ECONOMIA 002604, BANCO DE LA REPÚBLICA. [Downloadable!]
Other versions:
- Arturo José Galindo, . "Estimating Credibility in Colombia's Exchange Rate Target Zone," Borradores de Economia 103, Banco de la Republica de Colombia. [Downloadable!]
- Galindo, Arturo J., 2000. "Estimating credibility in Colombia's exchange-rate target zone," Journal of Development Economics, Elsevier, vol. 63(2), pages 473-484, December. [Downloadable!] (restricted)

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