The signalling channel of Central Bank interventions: modelling the Yen/US dollar exchange rate

Yu-Fu Chen; Michael Funke; Nicole Glannemann

doi:10.1007/s11079-013-9280-x

The signalling channel of Central Bank interventions: modelling the Yen/US dollar exchange rate

Yu-Fu Chen (Lead / Corresponding author)
, Michael Funke
, Nicole Glannemann

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

306 Downloads (Pure)

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.

Original language	English
Pages (from-to)	311-336
Number of pages	26
Journal	Open Economies Review
Volume	25
Issue number	2
Early online date	9 Jul 2013
DOIs	https://doi.org/10.1007/s11079-013-9280-x
Publication status	Published - Apr 2014

Keywords

Exchange rates
Interventions
Japan

Access to Document

10.1007/s11079-013-9280-x

Author Accepted Manuscript
The final publication is available at Springer via http://dx.doi.org/10.1007/s11079-013-9280-x
Accepted author manuscript, 1.45 MB

http://link.springer.com/article/10.1007%2Fs11079-013-9280-x

Cite this

@article{e7428a63e5304222be7d472f4436624a,

title = "The signalling channel of Central Bank interventions: modelling the Yen/US dollar exchange rate",

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.",

keywords = "Exchange rates, Interventions, Japan",

author = "Yu-Fu Chen and Michael Funke and Nicole Glannemann",

year = "2014",

month = apr,

doi = "10.1007/s11079-013-9280-x",

language = "English",

volume = "25",

pages = "311--336",

journal = "Open Economies Review",

issn = "0923-7992",

publisher = "Springer Netherlands",

number = "2",

}

TY - JOUR

T1 - The signalling channel of Central Bank interventions

T2 - modelling the Yen/US dollar exchange rate

AU - Chen, Yu-Fu

AU - Funke, Michael

AU - Glannemann, Nicole

PY - 2014/4

Y1 - 2014/4

N2 - 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.

AB - 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.

KW - Exchange rates

KW - Interventions

KW - Japan

U2 - 10.1007/s11079-013-9280-x

DO - 10.1007/s11079-013-9280-x

M3 - Article

SN - 0923-7992

VL - 25

SP - 311

EP - 336

JO - Open Economies Review

JF - Open Economies Review

IS - 2

ER -

The signalling channel of Central Bank interventions: modelling the Yen/US dollar exchange rate

Abstract

Keywords

Access to Document

Fingerprint

Cite this