ساختار بازار مداخله بانک مرکزی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|23050||2003||20 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Economics, Volume 59, Issue 1, January 2003, Pages 25–45
How quickly do central bank intervention operations impact the foreign exchange market? And, do intra-daily market conditions influence the effectiveness of central bank interventions? This paper uses high-frequency intra-daily data to examine the relationship between the efficacy of intervention operations and the “state of the market” at the moment that the operation is made public. The results indicate that some traders typically know that the Fed is intervening at least 1 h prior to the public release of the information in newswire reports. Also, the evidence suggests that the timing of intervention operations matters—interventions that occur during heavy trading volume, that are closely timed to scheduled macro announcements, and that are coordinated with another central bank are the most likely to have large effects.
How does information influence intra-daily exchange rate behavior? Standard models of exchange rate determination distinguish the types of information that should influence exchange rate movements, but there has been little focus on the way this information is assimilated by market participants. For example, in most models of exchange rate determination an unanticipated (and exogenous) monetary contraction in the home country leads to an appreciation of the home currency relative to foreign currencies. Standard models have little to say about how market participants learn of the monetary contraction, or of how the state of the foreign exchange market might influence the immediate and longer-term reactions of individual foreign exchange traders to the news of such a contraction. One possible explanation for the inadequate empirical performance of standard exchange rate models is that they put so little emphasis on the market microstructure of the foreign exchange market.1 This paper focuses on one important source of information to the foreign exchange markets, the intervention operations of the G-3 central banks. Previous studies using daily and weekly foreign exchange rate data suggest that central bank intervention operations can influence both the level and variance of exchange rates,2 but little is known about how exactly traders learn about these operations and whether intra-daily market conditions influence their effectiveness. This paper uses high-frequency intra-daily spot market data to examine the relationship between the efficacy of intervention operations and the “state of the market” at the moment that the operation is made public to traders. The results indicate that some traders know that the Fed is intervening at least 1 h prior to the public release of the information in newswire reports. Also, the evidence suggests that the timing of intervention operations matter—interventions that occur during heavy trading volume and that are closely timed to scheduled macro announcements are the most likely to have large effects. Finally, results indicate that interventions that are coordinated with another central bank have the largest price impact. The data used in this study include all the days that the Fed intervened in the USD–DEM or USD–JPY markets over the period 1987 through 1995, allowing tests for systematic influences of interventions over a relatively long time series, though the nature of the data do not allow tests for the persistence of interventions’ influence beyond the day.3 Previous intra-daily studies of intervention have had to focus on much shorter time spans due to the relative unavailability of both intervention data and high-frequency exchange rate data.4 This study is also able to control for the influence of other intra-daily news using time-stamped Reuters’ newswire reports. Section 2 of the paper presents stylized facts on the foreign exchange market, central bank interventions, and Reuters’ news reports. Section 3 reviews the role of interventions in the market microstructure of foreign exchange markets. Section 4 examines empirically the influence of market microstructure on the efficacy of central bank intervention, and Section 5 is the conclusion.
نتیجه گیری انگلیسی
The tests in this paper explore whether aspects of market microstructure influence the effectiveness of central bank intervention. In particular, this study examines the importance of the “state of the foreign exchange market” at the moment that central bank intervention operations (and macro announcements) are made public to traders. The empirical evidence indicates that Fed intervention operations significantly influenced both USD–DEM and USD–JPY intra-day returns and volatility. The evidence also suggests that some traders know at least 1 h prior to the Reuters’ report that a central bank is intervening, and the effects of interventions generally persist, at least to the end of the day. There is evidence of mean reversion in returns subsequent to Fed interventions particularly in the USD–DEM market, suggesting some initial over-reaction by the market. Fed interventions that occurred when the US and European markets are open (a proxy for relatively heavy trading volume periods), and in the aftermath of macro announcements had relatively larger effects than those that occurred at other times in the day. Coordinated interventions were also found to have large effects on exchange rates. There is little evidence in the FXFX data that specific large banks in the USD–DEM and USD–JPY markets systematically act as price leaders in reaction to news of Fed intervention. Overall, the tests in the paper support the hypothesis that central bank interventions influence intra-daily foreign exchange returns and volatility. The results also support the hypothesis that the efficacy of central bank intervention depends on the characteristics of the foreign exchange market at the time the operations become known to traders. The evidence suggests that policy makers that hope to have the largest intra-daily influence on exchange rate returns using intervention operations should time interventions to take place when trading volume is high (when both London and New York are trading) in the aftermath of the release of other macroeconomic news, and when other central banks are also in the market (intervening in the same direction).