Measuring the Impact of Intervention on Exchange Market Pressure

Pierre Siklos () and Diana Weymark ()
Additional contact information
Pierre Siklos: Department of Economics and Viessmann Research Centre, Wilfrid Laurier University
Diana Weymark: Department of Economics, Vanderbilt University

No 604, Vanderbilt University Department of Economics Working Papers from Vanderbilt University Department of Economics

Abstract: In this article, we 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 have been observed if the policy authority had refrained from intervening and this policy decision had been correctly anticipated by rational agents. Ex post EMP measures the exchange market pressure under the policy actually implemented by the policy authority. We use a ratio of these two EMP measures to assess the effectiveness of sterilized intervention in Canada and Australia.

Keywords: Exchange market pressure; exchange rate policy; foreign exchange intervention; Bank of Canada policy; Reserve Bank of Australia policy (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2006-03
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.accessecon.com/pubs/VUECON/vu06-w04R.pdf Revised version, 2006 (application/pdf)

Related works:
Working Paper: Measuring the Impact of Intervention on Exchange Market Pressure (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:van:wpaper:0604

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