چه زمانی مداخله بانک مرکزی جنبش های درون روزانه و بلند مدت نرخ ارز را تحت تاثیر قرار می دهد؟

This paper examines dollar interventions by the G3 since 1989, and the reasons that trader reactions to these interventions might differ over time and across central banks. Market microstructure theory provides a framework for understanding the process by which sterilized central bank interventions are observed and interpreted by traders, and how this process, in turn, might influence exchange rates. Using intra-daily and daily exchange rate and intervention data, the paper analyzes the influence of interventions on exchange rate volatility, finding evidence of both within day and daily impact effects, but little evidence that interventions influence longer-term volatility.

On May 31, 1995 the U.S. government purchased a total of $500 million against marks and $500 million against yen on three occasions between the hours of 1:45 pm and 2:26 pm (Eastern Standard Time), resulting in a 2% increase in the value of the dollar against both the mark and yen over the course of the day.1 On other occasions when the U.S. government intervened in the dollar exchange rate market, however, the dollar either moved in the opposite direction to that expected, or did not move at all. This paper examines dollar interventions by the G3 since 1989, and the reasons that market reactions to these interventions might differ over time and across central banks. Standard models of exchange rate determination identify at least two channels through which interventions might be expected to influence exchange rates: the portfolio balance channel and the signaling channel. However, neither of these channels is easily reconciled with the empirical evidence, which suggests that sometimes intervention works and sometimes it does not. Of course, standard exchange rate determination models have a difficult time explaining (often the lack of) exchange rate reactions to all kinds of purportedly fundamental information, suggesting that it may be worth reexamining standard models before drawing conclusions regarding the efficacy of intervention. One approach to exchange rate modeling that has gone some distance toward reconciling observed short-term currency movements and economic theory is the market microstructure approach. In the context of intervention, market microstructure provides a framework for understanding the process by which central bank interventions are observed and interpreted by traders, and how this process, in turn, might result in exchange rate changes. Recent advances in market microstructure theory, new sources of data on exchange rates and central bank interventions, and in particular, the availability of high frequency data, offer new tools with which to shed light on the old question of when central bank interventions are likely to influence exchange rates.2 Section 2 introduces a role for intervention via the signaling and portfolio balance channels in the context of foreign exchange market microstructure. Section 3 describes the G3 intervention and exchange rate data. Section 4 provides an empirical examination of the intra-day and daily dynamics of interventions and exchange rate volatility. Section 5 is the conclusion.

This paper identifies circumstances in which central bank interventions influence exchange rates. Microstructure theory suggests that trader heterogeneity can lead to short-run price and volatility effects in reaction to both fundamental and non-fundamental information revelation. Interventions have the potential to provide price-relevant information to market participants, or information that allows them to distinguish more accurately between fundamental and non-fundamental information. In the short run, however, the information content of interventions may not be common knowledge, and so operations may initially add to the rational confusion in the market. This suggests that the influence of interventions on exchange rates may well differ over the very short and longer runs. The empirical tests in this paper examine the influence of G3 interventions on dem–usd and yen–usd intra-daily (5 min) indicative quote volatility as well as a measure of realized daily volatility. Results suggest that intervention operations, especially those that were coordinated, were consistently associated with increases in intra-day and daily volatility, while there is little evidence that interventions influenced longer-term volatility. The short-run results are supportive of both the portfolio balance and signaling channels, and suggest that interventions, like other macroeconomic news variables, influence exchange rates at least within the day. The results also indicate that interventions do not lead to declines in volatility, suggesting that the information conveyed by intervention did not serve to resolve market uncertainty.35 At the same time, the fact that interventions did not lead to long-term increases in volatility may help explain why some governments, who presumably prefer not to increase market volatility, continue to rely on interventions to influence currency values.