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Post-Louvre intervention: did target zones stabilize the dollar?

  • Richard T. Baillie
  • Owen F. Humpage

An investigation of whether the G-3 nations (Germany, Japan, and the U.S.) successfully maintained target zones following the G-7's February 1987 Louvre meeting. Using daily, official intervention data and simultaneous-equation techniques, the authors determine that the G-3 reacted in a manner consistent with maintaining target zones, but find scant evidence that the intervention successfully influenced subsequent exchange-rate movements.

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Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9203.

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Date of creation: 1992
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Handle: RePEc:fip:fedcwp:9203
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  1. Klein, Michael W. & Lewis, Karen K., 1993. "Learning about intervention target zones," Journal of International Economics, Elsevier, vol. 35(3-4), pages 275-295, November.
  2. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  3. Kathryn M. Dominguez and Jeffrey A. Frankel., 1992. "Does Foreign Exchange Intervention Matter? Disentangling the Portfolio and Expectations Effects," Center for International and Development Economics Research (CIDER) Working Papers C92-001, University of California at Berkeley.
  4. Hali J. Edison, 1990. "Foreign currency operations: an annotated bibliography," International Finance Discussion Papers 380, Board of Governors of the Federal Reserve System (U.S.).
  5. Michael W. Klein & Eric S. Rosengren, 1991. "Foreign exchange intervention as a signal of monetary policy," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 39-50.
  6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  7. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  8. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
  9. Karen K. Lewis, 1990. "Occasional Interventions to Target Rates with a Foreign Exchange Application," NBER Working Papers 3398, National Bureau of Economic Research, Inc.
  10. Michael P. Leahy, 1989. "The profitability of U.S. intervention," International Finance Discussion Papers 343, Board of Governors of the Federal Reserve System (U.S.).
  11. Klein, Michael W., 1992. "Big effects of small interventions: The informational role of intervention in exchange rate policy," European Economic Review, Elsevier, vol. 36(4), pages 915-924, May.
  12. Donald B. Adams & Dale W. Henderson, 1983. "Definition and measurement of exchange market intervention," Staff Studies 126, Board of Governors of the Federal Reserve System (U.S.).
  13. Juann H. Hung, 1991. "Noise trading and the effectiveness of sterilized foreign exchange intervention," Research Paper 9111, Federal Reserve Bank of New York.
  14. Owen F. Humpage, 1991. "Central-bank intervention: recent literature, continuing controversy," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 12-26.
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