Measuring the Impact of Intervention on Exchange Market Pressure
AbstractWe 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 be observed if the authorities refrain from intervening and agents correctly anticipate this outcome. Ex post EMP measures exchange market pressure under the policy actually implemented. We use a ratio of these two EMP measures to assess the effectiveness of sterilized intervention in Canada and Australia, and find that its effects persist even in quarterly data.
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Bibliographic InfoPaper provided by Wilfrid Laurier University, Department of Economics in its series Working Papers with number eg0048.
Date of creation: 2006
Date of revision: 2006
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exchange market pressure; foreign exchange intervention; Bank of Canada;
Other versions of this item:
- Pierre L. Siklos & Diana N. Weymark, 2006. "Measuring the Impact of Intervention on Exchange Market Pressure," Vanderbilt University Department of Economics Working Papers 0604, Vanderbilt University Department of Economics.
- F31 - International Economics - - International Finance - - - Foreign Exchange
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