Measuring the Impact of Intervention on Exchange Market Pressure
AbstractIn this article, we introduce an index of ex ante exchange market pressure (EMP) that can be used as a benchmark against which to measure the effectiveness of sterilized intervention. Ex ante EMP is the change in the exchange rate that would have been observed if the policy authority had refrained from intervening and this policy decision had been correctly anticipated by rational agents. Ex post EMP measures the exchange market pressure under the policy actually implemented by the policy authority. We use a ratio of these two EMP measures to assess the effectiveness of sterilized intervention in Canada and Australia.
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Bibliographic InfoPaper provided by Vanderbilt University Department of Economics in its series Vanderbilt University Department of Economics Working Papers with number 0604.
Date of creation: Mar 2006
Date of revision:
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Web page: http://www.vanderbilt.edu/econ/wparchive/index.html
Exchange market pressure; exchange rate policy; foreign exchange intervention; Bank of Canada policy; Reserve Bank of Australia policy;
Other versions of this item:
- P. Siklos, D. Waymark, 2006. "Measuring the Impact of Intervention on Exchange Market Pressure," Working Papers eg0048, Wilfrid Laurier University, Department of Economics, revised 2006.
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-25 (All new papers)
- NEP-CBA-2006-03-25 (Central Banking)
- NEP-FMK-2006-03-25 (Financial Markets)
- NEP-IFN-2006-03-25 (International Finance)
- NEP-MON-2006-03-25 (Monetary Economics)
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