Arbeitspapier

Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or fundamentalist forecasts, which forces portfolio managers to adjust their foreign currency positions. The empirical examination of the hypothesis is done by applying a markov regime-switching approach to daily US-dollar/DEM forward rates and intervention data of the Deutsche Bundesbank and the Federal Reserve from 1979 to 1992. It is shown that the performance of simple chartist trading rules was strong whenever these central banks intervened on the foreign exchange market. A similar coincidence cannot be found within the more sophisticated fundamentalist approach.

Sprache
Englisch

Erschienen in
Series: Discussion Paper Series 1 ; No. 2002,17

Klassifikation
Wirtschaft
Foreign Exchange
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
International Financial Markets
Central Banks and Their Policies
Thema
Wechselkurse
Intervention
Regime-Switching
exchange rates
intervention
regime-switching
Wechselkurspolitik
Wirtschaftspolitische Wirkungsanalyse
Wechselkurstheorie
Erwartungstheorie
Wertpapieranalyse
Noise Trading
Theorie
Schätzung
Wechselkurs
Deutschland
USA

Ereignis
Geistige Schöpfung
(wer)
Reitz, Stefan
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Reitz, Stefan
  • Deutsche Bundesbank

Entstanden

  • 2002

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