Spill-over dynamics of central bank interventions
Central banks frequently intervene in foreign exchange markets to reduce volatility or to correct misalignments. Such operations may be successful if they drive away destabilizing speculators. However, the speculators do not simply vanish but may reappear on other foreign exchange markets. Using a model in which traders are able to switch between foreign exchange markets, we demonstrate that while a central bank indeed has several means at hand to stabilize a specific market, the variability of the other markets depends on how the interventions are implemented.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Web page: http://zai.ini.unizh.ch/complexity2003/|
More information through EDIRC
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.:
- Hommes, C.H., 2000.
"Financial Markets as Nonlinear Adaptive Evolutionary Systems,"
CeNDEF Working Papers
00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
- Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers 01-014/1, Tinbergen Institute.
- Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002.
"Speculative behaviour and complex asset price dynamics: a global analysis,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 49(2), pages 173-197, October.
- Carl Chiarella & Roberto Dieci & Laura Gardini, 2001. "Speculative Behaviour and Complex Asset Price Dynamics," Research Paper Series 49, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dominguez, Kathryn M. E., 2003.
"The market microstructure of central bank intervention,"
Journal of International Economics,
Elsevier, vol. 59(1), pages 25-45, January.
- Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
- Dominguez & K., 1997. "The Market Microstructure of Central Bank Intervention," Working Papers 412, Research Seminar in International Economics, University of Michigan.
- LeBaron, B., 1996.
"Technical Trading Rule Profitability and Foreing Exchange Intervention,"
9445r, Wisconsin Madison - Social Systems.
- LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
- Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
- Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, EconWPA.
- Blake LeBaron, . "Technical Trading Rule Profitability and Foreign Exchange Intervention," Working papers _002, University of Wisconsin - Madison.
- R. Purdy, 2002. "Editorial," Climate Policy, Taylor & Francis Journals, vol. 2(1), pages 1-2, March.
- Mark P. Taylor & Lucio Sarno, 2001.
"Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?,"
Journal of Economic Literature,
American Economic Association, vol. 39(3), pages 839-868, September.
- Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
- R. K. Pachauri & Sujata Gupta, 2002. "Editorial," Climate Policy, Taylor & Francis Journals, vol. 2(2-3), pages 127-128, September.
- J. Doyne Farmer & Shareen Joshi, 2000.
"The price dynamics of common trading strategies,"
- repec:rus:hseeco:21608 is not listed on IDEAS
- Christopher J. Neely, 2001.
"The practice of central bank intervention: looking under the hood,"
Federal Reserve Bank of St. Louis, issue May, pages 1-10.
- Christopher J. Neely, 2000. "The practice of central bank intervention: looking under the hood," Working Papers 2000-028, Federal Reserve Bank of St. Louis.
- Day, R. & Huang, W., 1988.
"Bulls, Bears And Market Sheep,"
m8822, Southern California - Department of Economics.
- Lux, T. & M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
- Brock, W.A. & Hommes, C.H., 1996.
"Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model,"
9621, Wisconsin Madison - Social Systems.
- Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, vol. 4(4), pages 351-379, December.
- Lux, Thomas & Marchesi, Michele, 2002. "Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 143-147, October.
- Frank Westerhoff, 2003.
"Multi-Asset Market Dynamics,"
Computing in Economics and Finance 2003
88, Society for Computational Economics.
- Saacke, Peter, 2002. "Technical analysis and the effectiveness of central bank intervention," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 459-479, August.
- Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
When requesting a correction, please mention this item's handle: RePEc:sce:cplx03:21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.