رازداری بانک مرکزی در بازار ارز

This paper argues that with sticky goods prices and a forward-looking exchange rate, the central bank will only want a partial dissemination of its information about shocks to the economy. It is shown that, in such a model, the central bank may prefer to intervene secretly in the foreign exchange markets when responding in anticipation of future shocks, but openly when reacting to current shocks. The model thus provides a rationale for secrecy in central bank foreign exchange operations. The model also elucidates the relationship between the signaling and portfolio balance channels of sterilized intervention.

At a time when central banks are being urged to be more open and transparent in their operations, it is worth pausing to ask whether central bankers’ traditional penchant for secrecy has any economic rationale, or whether it is merely part of the mystique of central banking.1 A series of papers has tried to explain why the central bank may find it desirable to remain secretive in setting its monetary policy.2 The literature to date, however, has not examined the secrecy shrouding interventions in the foreign exchange market. This omission is surprising since exchange market interventions are often amongst the most secretive operations undertaken by central banks.3 The operating procedures of central banks are generally designed to prevent market participants from discovering the magnitude, and often the direction, of official intervention. Thus, typically the central bank will use several brokers in order to prevent the market from deducing the total size of the intervention.4 Of course, some information leaks out through the very process of influencing the exchange rate. Correlating daily intervention data with newspaper accounts, Domiguez (1989) found that market participants were at times able to infer that the central bank was intervening, but they seldom knew the magnitude of the intervention. This reticence of the central bank to announce its interventions is particularly puzzling in light of econometric evidence that the most important effects of intervention operate through signaling channels. Presumably, therefore, the central bank could achieve its maximum impact by intervening in as conspicuous a manner as possible. The purpose of this paper is to provide an explanation for secrecy in intervention operations. To explain central bank secrecy only three assumptions are required. First, we assume that the central bank has superior information to that available to the private sector (otherwise the private sector could always infer the central bank's intervention anyway). Second, we assume that, ceteris paribus, the central bank prefers to undertake as little intervention as possible. Third, in line with most open-economy macroeconomic models, we assume that the goods market clears more slowly than asset markets (Dornbusch, 1976). In essence, the slow adjustment of the goods market means that the central bank prefers a partial dissemination of its private information to either complete revelation, or perfect secrecy. Secret intervention allows the central bank to achieve the objecting of only partially disseminating its information with the minimum amount of intervention. Previous models of central bank secrecy have generally focussed on the use of secrecy to enhance the real effects of monetary policy when wage-setters are forward looking. In the Cukierman and Meltzer (1986) model, secrecy is optimal because it allows monetary policy to have real effects on output when the central bank's marginal utility from an expansion is greatest. Lewis (1990) adds a second reason why society should not try to force the central bank to reveal its information: attempts at doing so may result in even greater secrecy on the part of the central bank.5 These arguments for secrecy are thus quite distinct from the one developed here. The closest model to ours is that developed by Stein (1990); but there are important differences. In Stein's model, if the central bank makes precise announcements they will lack credibility; hence the need for imprecise policy statements or ‘secrecy’. In our model, simple announcements by the central bank will also lack credibility, but by revealing its intervention to the market, the central bank could communicate its private information with perfect credibility (thus eliminating the problem on which Stein focuses). In our model, the problem arises because, by revealing the amount of its intervention, the central bank conveys too much information to the private sector. Secret intervention allows the central bank to communicate the ‘right’ amount of its private information. The plan of the paper is as follows. Section 2 introduces the model used in both the theoretical section and in the simulation analysis. Section 3 shows why the central bank would prefer to only partially reveal its private information, and how secrecy allows it to achieve this objective. Section 4 uses an empirically estimated open economy macromodel to assess the case for secret intervention. Section 5 provides some brief concluding remarks.

In this paper we have shown that secrecy in foreign exchange intervention operations may be more than just part of the infamous ‘mystique’ of central bankers. Under the plausible assumption that the central bank wants to stabilize output with the least amount intervention possible, it may be better-off not announcing the amount of its intervention to the market. Several points are noteworthy. First, the general result that the central bank might want to intervene secretly is quite robust. In the model, we have assumed that the central bank uses sterilized intervention as its policy instrument. (In effect the central bank was assumed to target the money supply.) In a more general setting, intervention could be unsterilized (although this is not the standard operating practice) so that the central bank has both monetary and intervention policy. As long as the central bank has more than one target, however, it will continue to use sterilized intervention as a policy instrument and the results of the model will hold. Second, in the ‘secret’ regime the central bank is not obliged to reveal its intervention but it can choose to do so. The model does not predict that intervention will always be conducted secretly. If the central bank is responding to current shocks, and the private sector knows the central bank's objective function, then the market will be able to infer the magnitude and direction of the intervention perfectly. In effect, intervention would be revealed regardless of whether it is conducted ‘secretly’. When the central bank is responding to both current shocks and its expectation about future shocks, the market's ability to infer the total amount of intervention will be imperfect. An important and (potentially) testable implication of the model is that when the central bank is intervening in response to current shocks it will do so more openly, when responding to future shocks – or desired movements in the exchange rate – it will do so secretly. Empirically, this appears to be borne out. When, for example, the G7 central banks had to intervene in the foreign exchange markets following the stockmarket decline in October 1987 they did so in a very visible manner (Ghosh and Masson, 1994, Chapter 4). 17 Yet at the time of Plaza, when the dollar was viewed as being overvalued and requiring a gradual future correction to facilitate the US trade adjustment, the details of the intervention were kept secret. 18 Third, the model sheds some light on the distinction between the signaling channel of sterilized intervention and the portfolio balance channel. These two effects are generally viewed as substitutes. In the model developed here, however, the two channels are strong complements. Sterilized intervention works partly through the direct portfolio balance effect, and partly through the signaling of the central bank's private information about vt+1. This signaling of private information will only be credible, however, if intervention is ‘costly’. In principle, any ‘noisy’ signal – if properly audited ex post – could achieve the optimal dissemination of information. Yet in a small open economy, the only channel through which the monetary authority can affect output is through the exchange rate. It seems reasonable to assume, therefore, that this signaling will occur through the exchange market. As a method of providing a noisy signal, moreover, secret intervention has the added advantage that no ex post auditing is required.