Models of foreign exchange intervention: Estimation and testing

Douglas Hodgson ()

No 96, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly non-linear response functions and tests of functional form, the latter making use of the econometric literature on testing in the presence of nuisance parameters unidentified under a null hypothesis. The methodology is applied in an analysis of recent activity of the Bank of Canada with respect to the Canada-U.S. exchange rat

Keywords: Central bank intervention; nonlinear simultaneous equations; time series; semiparametric methods (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:96

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