Capturing the time dynamics of central bank intervention

Christopher C. Douglas and Marek Kolar

Journal of International Financial Markets, Institutions and Money, 2009, vol. 19, issue 5, 950-968

Abstract: We estimate central bank reaction functions using the autoregressive conditional hazard model and the autoregressive conditional binomial model. We find that the Federal Reserve and Bundesbank intervened when the market was calmer, and the Bundesbank intervened in response to exchange rates being out-of-line with fundamentals. Japan intervened in response to changes in the nominal exchange rate, and intervention differed before and after Eisuke Sakakibara became Director General of the International Finance Bureau of the Ministry of Finance in Japan. We argue that these results are consistent with central bank policy goals and the effect of intervention on the exchange rate.

Keywords: Central; Bank; Intervention; Time; Series; Econometrics (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:19:y:2009:i:5:p:950-968

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