توافق موزه لوور و مداخله بانک مرکزی : آیا یک منطقه هدف وجود دارد؟

This paper presents an empirical analysis of central bank intervention during the 10-month period following the Louvre Accord. We first examine whether the Bank of Japan and the Federal Reserve adopted a target zone in order to stabilize the yen–dollar exchange rate, by using daily foreign exchange intervention data. We then estimate the expected future exchange rate and the expected rate of devaluation in order to verify if there was a credible target zone. On the basis of these two tests, we conclude that the central banks did adopt a target zone during the period following the Louvre Accord, but that the target zone for the yen–dollar exchange rate was not credible.

Over the past decade, a considerable number of theoretical studies have analyzed the exchange rate target zone (e.g. Krugman, 1991, Bertola and Caballero, 1992 and Bertola and Svensson, 1993). However, comparatively little attention has so far been paid to the target zone which is believed by some to have been adopted following the Louvre Accord.1 Accordingly, this paper will present an empirical analysis of central bank intervention following the Louvre Accord of February 1987 in order to determine whether or not a target zone was indeed adopted and, if so, to characterize the nature of that target zone. In particular, this paper will examine whether the Bank of Japan and the US Federal Reserve adopted a target zone in order to stabilize the yen–dollar exchange rate during the 10-month period following the Louvre Accord. If such a target zone is found to have existed, moreover, the paper will further analyze how credible the zone might have been by estimating the expected future exchange rate and the expected rate of devaluation. On 22 February 1987, major industrial countries agreed that they would coordinate macroeconomic policies to stabilize exchange rates at ‘around current levels’ in what became known as the Louvre Accord. Although the details of the agreement were not made public, it is suggested in the popular literature that the countries adopted target zones as a way of maintaining exchange rate stability (Funabashi, 1989). Because they announced neither the central rates nor the bands for the exchange rate, it may be said that these were unofficial target zones, if the target zone arrangement was adopted at all. According to Funabashi (1989), the central rates following the Louvre Accord were supposedly 153.50 yen and 1.825 marks per dollar with a band of ±5 percent. In the case of the yen–dollar rate, it is also said that, on 7 April, the central rate was rebased to 146 yen per dollar in order to reflect the new market conditions. It should be noted, however, that no official statement ever confirmed the adoption of a target zone. The first of our tasks in this paper is thus to follow Lewis (1990) and to verify whether or not the central banks indeed adopted the target zone arrangement. According to Bertola and Caballero (1992), Bertola and Svensson (1993) and others, the exchange rate would not be stable in a target zone, unless the zone were credible. The issue of target zone credibility in the context of the Exchange Rate Mechanism (ERM) of European Monetary System (EMS) and the Sweden krona has been analyzed by Bertola and Svensson (1993), Lindberg et al. (1993) and Svensson (1993), by estimating the expected rate of devaluation. Thus, our second task is to follow their methodology to examine how credible the target zone was during the period immediately following the Louvre Accord, by assuming that a target zone was indeed put in place. The paper is organized as follows. Section 2 will present an overview of the Louvre Accord and post-Louvre intervention. Section 3 will ascertain whether or not the Bank of Japan and the US Federal Reserve adopted a target zone, by using a multinomial logit model. Section 4 will examine the credibility of the presumed target zone by estimating the expected future exchange rate and the expected rate of devaluation. Section 5 will present a summary and concluding remarks. Finally, Appendix A will outline the sources of data.

In this paper, we have presented an empirical analysis of central bank intervention during the 10-month period following the Louvre Accord of February 1987 in order to determine whether or not a target zone might have existed, as is commonly suggested in the popular literature. We have first examined whether the Bank of Japan and the Federal Reserve adopted a target zone regime during the period, by using daily foreign exchange intervention data. It was shown that, at least operationally, the central banks did adopt a target zone during the period, to the extent that they intervened to stabilize the exchange rate at the presumed Louvre target levels and frequently coordinated their intervention operations at the lower edge of the band for the US dollar. We have then tested the credibility of the target zone by estimating the expected future exchange rate and the expected rate of devaluation. It was shown that the target zone for the yen–dollar exchange rate was less credible than that for the deutsche mark–dollar exchange rate, because (1) the yen’s expected future exchange rate was frequently outside the presumed exchange rate band and (2) the expected rate of devaluation was more volatile for the yen–dollar rate than that for the deutsche mark–dollar rate. The conclusion that the post-Louvre target zone for the yen–dollar rate was not credible may be explained by the fact that neither the levels nor the bands were announced for the exchange rate. On the other hand, the relative credibility of the target zone for the deutsche mark–dollar rate may be explained by the possibility that the market participants may have expected Germany, a participant in the ERM of EMS, to be firmer in defending the target zone.18 This seems to suggest that, if exchange rate stability can only be earned through credibility, a greater degree of transparency must be attached to a target zone than was accorded to the unannounced arrangement of mutual intervention that apparently existed between the Japanese and US monetary authorities following the Louvre Accord.