The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate

Yu-Fu Chen, Michael Funke and Nicole Glanemann

No 260, Dundee Discussion Papers in Economics from Economic Studies, University of Dundee

Abstract: This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999 -2011 on the yen/US dollar dynamics.

Keywords: Exchange rates; interventions; Japan (search for similar items in EconPapers)
JEL-codes: C61 E58 F31 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-10
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mon and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate (2014)
Working Paper: The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate (2012)
Working Paper: The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate (2011)
Working Paper: The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate (2011)
Working Paper: The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate (2011)
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