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

Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole

doi:10.1007/s11079-013-9280-x

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

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Glanemann, Nicole
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IMPRS on Earth System Modelling, MPI for Meteorology, Max Planck Society;

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Citation

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.

Cite as: https://hdl.handle.net/21.11116/0000-0001-5FB8-6

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.