اثربخشی نسبی مداخلات استریلیزه و غیراستریلیزه در بازار ارز خارجی

This paper examines the impact of non sterilized and sterilized foreign exchange market operations on both the exchange rate and domestic interest rate within the context of a rational expectations portfolio balance model. The results show that non sterilized intervention will be more effective than sterilized intervention in affecting both the exchange rate and domestic interest rate. Both types of operations affect a market risk premium that is shown to be a function of relative asset supplies in the hands of the private sector. When domestic and foreign bonds are perfect substitutes, the risk premium vanishes and so to does the effectiveness of sterilized foreign exchange market interventions.

There is a considerable literature examining the impact of foreign exchange market interventions by central banks see, for example, Adams and Henderson (1983), Argy (1982), Fatum and Hutchison (2003), Genberg (1981), Kenen, 1982 and Kenen, 1987 and the excellent survey by Taylor and Sarno (2001). This literature has tended to focus primarily upon the exchange rate effects of intervention, however, it is equally important to focus the interest rate effects of such operations. The impact on the domestic economy of foreign exchange market intervention is combination of these two effects. In this paper, we use a dynamic specification of the portfolio balance model to show how both the exchange rate effects and interest rate effects are linked to their impacts on a risk premium that is a function of relative asset supplies in the hands of private agents. The only other paper to examine the effects of exchange market intervention on the risk premium has been Dooley and Isard (1983) who used a static expectations model.

This paper has investigated the relative effectiveness of non sterilized and sterilized interventions in the foreign exchange market. A non sterilized foreign exchange operation does not require a risk premium to have an effect on both the exchange rate and the domestic interest rate while a sterilized intervention exerts its effects by altering the risk premium. The portfolio balance model breaks up the uncovered interest rate parity condition by the introduction of a risk premium. We have derived from the model structure itself an equation for the change in the risk premium. The change in the risk premium is affected by changes in all the asset supplies depicted in the model including the domestic money supply, this suggests that existing research which typically analyses the risk premium in relation to only two assets, domestic and foreign bonds, needs to be extended to explicitly include changes in the money stock. It is clear that one cannot analyse the effectiveness of exchange market intervention without analysing the risk premium. How large a SFXO may be required to exert a significant exchange rate effect is basically an empirical question, see, for example, Fatum and Hutchison (2003). If it is the case that it requires a very large scale operation to have significant exchange rate effects the reserve changes implied may act as a constraint on the usage of this policy instrument or by adversely affecting private expectations even be counterproductive.