Models of foreign exchange intervention: Estimation and testing
AbstractWe propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly non-linear response functions and tests of functional form, the latter making use of the econometric literature on testing in the presence of nuisance parameters unidentified under a null hypothesis. The methodology is applied in an analysis of recent activity of the Bank of Canada with respect to the Canada-U.S. exchange rat
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 96.
Date of creation: 11 Aug 2004
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Central bank intervention; nonlinear simultaneous equations; time series; semiparametric methods;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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