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  The signalling channel of Central Bank interventions: Modelling the Yen/US Dollar exchange rate

Chen, Y.-F., Funke, M., & Glanemann, N. (2014). The signalling channel of Central Bank interventions: Modelling the Yen/US Dollar exchange rate. Open Economies Review, 25, 311-336. doi:10.1007/s11079-013-9280-x.

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Item Permalink: https://hdl.handle.net/21.11116/0000-0001-5FB8-6 Version Permalink: https://hdl.handle.net/21.11116/0000-0001-5FBA-4
Genre: Journal Article

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 Creators:
Chen, Yu-Fu1, Author
Funke, Michael1, Author
Glanemann, Nicole1, 2, Author
Affiliations:
1External Organizations, ou_persistent22              
2IMPRS on Earth System Modelling, MPI for Meteorology, Max Planck Society, Bundesstraße 53, 20146 Hamburg, DE, ou_913547              

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 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 the 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.

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Language(s): eng - English
 Dates: 2014-04
 Publication Status: Issued
 Pages: -
 Publishing info: -
 Table of Contents: -
 Rev. Type: Peer
 Identifiers: DOI: 10.1007/s11079-013-9280-x
 Degree: -

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Title: Open Economies Review
Source Genre: Journal
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Pages: - Volume / Issue: 25 Sequence Number: - Start / End Page: 311 - 336 Identifier: ISSN: 1573-708X