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Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates

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  • Lee, Hsiu-Yun
  • Chang, Wen-Ya
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

    Volume (Year): 21 (2007)
    Issue (Month): 1 (March)
    Pages: 64-77

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    Handle: RePEc:eee:jjieco:v:21:y:2007:i:1:p:64-77

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    Web page: http://www.elsevier.com/locate/inca/622903

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    1. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
    2. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    3. Vigfusson, R., 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," Working Papers, Bank of Canada 96-1, Bank of Canada.
    4. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, Elsevier, vol. 94(1-2), pages 239-276.
    5. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0169, National Bureau of Economic Research, Inc.
    6. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear Of Floating," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 117(2), pages 379-408, May.
    7. Levy-Yeyati, Eduardo & Sturzenegger, Federico, 2005. "Classifying exchange rate regimes: Deeds vs. words," European Economic Review, Elsevier, Elsevier, vol. 49(6), pages 1603-1635, August.
    8. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 42(2), pages 179-193, April.
    9. Mark P. Taylor & Lucio Sarno, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 39(3), pages 839-868, September.
    10. Natividad-Carlos, Fidelina B., 1994. "Monetary policy, fiscal policy and intervention in a model of exchange-rate and aggregate-demand dynamics," Journal of Macroeconomics, Elsevier, Elsevier, vol. 16(3), pages 523-537.
    11. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, American Economic Association, vol. 80(4), pages 689-713, September.
    12. Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
    13. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
    14. Dewachter, Hans, 2001. "Can Markov switching models replicate chartist profits in the foreign exchange market?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(1), pages 25-41, February.
    15. Jacob A. Frenkel & Carlos A. Rodriguez, 1982. "Exchange Rate Dynamics and the Overshooting Hypothesis," NBER Working Papers 0832, National Bureau of Economic Research, Inc.
    16. Keith Sill & Jeffrey Wrase, 1999. "Exchange rates and monetary policy regimes in Canada and the U.S," Working Papers, Federal Reserve Bank of Philadelphia 99-13, Federal Reserve Bank of Philadelphia.
    17. Hsieh, David A., 1992. "A nonlinear stochastic rational expectations model of exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 11(3), pages 235-250, June.
    18. Lewis, Karen K, 1995. "Occasional Interventions to Target Rates," American Economic Review, American Economic Association, American Economic Association, vol. 85(4), pages 691-715, September.
    19. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 161-190, February.
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    Cited by:
    1. Mauricio Lopera Castaño & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londoño Henao, 2013. "Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, UN - RCE - CID.
    2. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    3. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2007,24, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Lee, Hsiu-Yun, 2011. "Nonlinear exchange rate dynamics under stochastic official intervention," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 1510-1518, July.
    5. Lee, Hsiu-Yun & Lai, Hung-Pin, 2011. "A structural threshold model of the exchange rate under optimal intervention," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(6), pages 931-946, October.

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