The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate
AbstractThis paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999 -2011 on the yen/US dollar dynamics.
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Bibliographic InfoPaper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 21110.
Date of creation: Oct 2011
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exchange rates; interventions; Japan;
Other versions of this item:
- Yu-Fu Chen & Michael Funke & Nicole Glanemann, 2011. "The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate," Dundee Discussion Papers in Economics 260, Economic Studies, University of Dundee.
- Yu-Fu Chen & Michael Funke & Nicole Glanemann, 2011. "The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate," CESifo Working Paper Series 3610, CESifo Group Munich.
- Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2011. "The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate," SIRE Discussion Papers 2011-66, Scottish Institute for Research in Economics (SIRE).
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F31 - International Economics - - International Finance - - - Foreign Exchange
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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