مداخلات رسمی بانک مرکزی و نوسانات نرخ ارز: مدارک و شواهد از تجزیه و تحلیل تغییر رژیم
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|8229||2003||21 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : European Economic Review, Volume 47, Issue 5, October 2003, Pages 891–911
In this paper, we investigate the effect of central bank interventions on the weekly returns and volatility of the DEM/USD and YEN/USD exchange rate returns. In contrast with previous analyses, we allow for regime-dependent specifications and investigate whether official interventions can explain the observed volatility regime switches. It is found that, depending on the prevailing volatility level, coordinated central bank interventions can lead to either a stabilizing or a destabilizing effect. Our results lead us to challenge the usual view that such interventions always imply increases in volatility.
Since the beginning of the 90's, the release of high-frequency data by several major central banks has led to a renewed interest in the empirical assessment of the effect of direct interventions on the short-run evolution of foreign exchange rates. In particular, the empirical literature investigated whether direct purchases and sales made by the central banks on the foreign exchange market could be effective in moving the nominal exchange rate in one direction or another. These sought-after dynamics have been implicitly defined in two well-known major international agreements: the 1985 Plaza Agreement that favored central bank cooperation in order to induce a sharp depreciation of the US dollar (USD hereafter) and the 1987 Louvre Agreement that emphasized the need to decrease excess exchange rate volatility. More recently, the interest for direct interventions on the foreign exchange market has been fostered at the European level by the sharp depreciation of the Euro against the major currencies, i.e. the USD and the Japanese Yen (YEN hereafter) and, to a lesser extent, its relatively high volatility. In September 2000, the European Central Bank directly intervened in support of the Euro in coordination with the major other central banks (the Federal Reserve (FED), the Bank of Japan (BOJ), the Bank of Canada and the Bank of England). This was followed by three official unilateral interventions carried out in November 2000. Recently, central bank interventions have also been used extensively as an instrument by the BOJ to depreciate the YEN, in order to support its expansive monetary policy. In the 80's, the inference of the empirical literature was mainly based on the use of quarterly variations of official reserves as proxies to the direct interventions of central banks on the foreign exchange markets. The public release of daily data regarding these direct interventions by the FED, the Bundesbank (BB) and the Swiss bank (among others) has nevertheless allowed the study of the short-run impact on exchange rates or interest rates. More recently, the BOJ also decided to publish (ex-post) the official interventions made since April 1991. Accordingly, the econometric techniques using these data have been adjusted to account for some of the key features associated with such high-frequency financial data (conditional heteroskedasticity for instance). The results of the empirical literature on foreign exchange rate interventions seem quite surprising. Generally speaking, there is only some weak evidence that interventions can affect the level of the exchange rate (Baillie and Osterberg, 1997a).1 When some effects are however detected, net purchases of a particular currency appear to be associated with a subsequent depreciation of this currency (Almekinders and Eijffinger, 1993; Dominguez and Frankel, 1993; Baillie and Osterberg, 1997a; Beine et al., 2002), suggesting leaning-against-the-wind phenomena.2 Regarding the second moment of the distribution of returns, the main findings of the literature emphasize a significant increase of volatility subsequent to the foreign exchange rate interventions. This last effect is extensively documented in the previously quoted papers and also by Connolly and Taylor (1994), Dominguez (1998) and Baillie and Humpage (1992) that use an ex post characterization of volatility (ARCH and subsequent developments). Focusing on some ex ante measure of volatility leads to the same conclusion (Bonser-Neal and Tanner, 1996, for instance). All in all, these reported effects raise some doubts on the efficiency of such an instrument, at least in the very short run. As far as the methodological part of the study is concerned, most of the empirical analyses use an ARCH-type specification to model the heteroskedasticity observed on these series at a high-frequency basis. For instance, Baillie and Osterberg 1997a and Baillie and Osterberg 1997b as well as Dominguez (1998) use GARCH models while Beine et al. (2002) allow for long memory in the conditional variance through a FIGARCH specification. To study the impact of central bank interventions (CBI in short), explanatory variables are usually added in the conditional mean and/or the conditional variance equations. As a result, these approaches implicitly assume linear impacts of CBI, either on the mean or on the volatility of exchange rate returns. In this paper, we propose an alternative approach to the GARCH specification (Bollerslev, 1986) and the single-regime framework that are commonly used in the empirical literature on the effectiveness of central bank interventions in the foreign exchange markets. In contrast with earlier analysis, we allow for regime-dependent frameworks to assess the impact of direct interventions. More specially, and following the approach proposed by Hamilton (1994), we assume that the evolution of the spot exchange rates depends on a latent regime variable whose dynamics is driven by a first-order Markov switching process. Then, in the spirit of Filardo (1994) or Diebold et al. (1994), the probabilities of switching from one regime to another depend on exogenous variables, in our case central bank interventions. Compared to single-regime GARCH type models, one important advantage of such an approach is that it explicitly allows for different outcomes of central bank interventions with respect to the initial state of the economy. For instance, central bank purchases can lead to an increase in volatility when the markets are calm, but not if the market is in a state of high volatility. Similarly, the effect on the level of exchange rate could be different depending on whether the dollar is depreciating or appreciating. The economic rationale is as follows. The literature tends to favor the signalling channel as the prevailing channel of transmission of central bank interventions on foreign exchange rates. As pointed out by Dominguez (1998), according to the intervention signalling hypothesis, the expected effect of an intervention depends on whether its associated signal is unambiguous and consistent with the official goals of these operations. As indicated in Dominguez (1999), the motivations of the FED include among others influencing trend movements in exchange rates and calming disorderly markets. Therefore, depending on the prevailing state of the market, the signal of an intervention will be ambiguous or not and the effect on the two first moments of exchange rate changes will be different. Our results dealing with the effects of the central bank interventions on exchange rate volatility turn out to be consistent with this idea. In this paper, different Markov switching models are estimated and a selected specification is then used for the study of the DEM/USD exchange rate over the 1985–1995 period. Some evidence is also provided for the YEN/USD in order to assess to which extent our results are only valid for the DEM. Due to data availability, the analysis of the YEN is performed over a shorter period, 1991–1995. It is found that this regime-switching framework fits the data rather well on the one hand, and compares very well with usual GARCH specifications when investigating the respective out-of-sample forecasting properties on the other hand. One of our main conclusions is that official central bank interventions explain a significant part of the observed switches between volatility regimes. Our results lead us to challenge the previous conclusions according to which central bank interventions cannot have any stabilizing influence on the short-run dynamics of exchange rates. The paper is organized as follows. Section 2 investigates the relevance of several statistical models and presents some evidence in favor of a regime-switching model. Section 3 is devoted to the analysis of the effects of central bank interventions. Section 4 concludes.
نتیجه گیری انگلیسی
In this paper, we study the impact of weekly central bank interventions on the level and the volatility of the DEM/USD and YEN/USD exchange rate returns. In contrast with the usual literature which favors GARCH-type specifications, we rely on a regime-dependent approach. Because of this new feature, the interventions can have different outcomes depending on the prevailing state of the market. Our estimations suggest that the dynamics of both series is mainly driven by volatility regimes (a high- and a low-volatility regime). Thanks to out-of-sample forecasting experiments, it is shown that this specification compares very well with GARCH models and thus offers a relevant statistical alternative to the usual methodology presented in the literature. Our results partly confirm the positive impact of central bank interventions on exchange rate volatility emphasized in the literature. Nevertheless, it is found for both the DEM and the YEN that when the market is highly volatile and when market participants expect the central banks to intervene, concerted interventions can have a stabilizing effect. This new result in the empirical literature is consistent with the signalling approach to central bank interventions on the foreign exchange market. It is also consistent with the 1987 Louvre Agreement objective of decreasing excess volatility of exchange rate through direct coordinated interventions. Such a result also sheds an interesting light on previous results obtained with “single-regime” specifications. By not taking into account the volatility regime in which the interventions occur, these models tend to favor the impact observed in the most prevailing state of the market, i.e. the low-volatility one. Regarding economic policy issues, our results have two important implications. First, they confirm previous results according to which coordinated rather that unilateral interventions lead to large effects in the foreign exchange market. Second, our findings suggest that the signal sent to market participants through central bank interventions and hence its impact on exchange rates crucially depends on the current state of the market and the perceived motivation to intervene. This speaks for a more transparent intervention policy followed by central banks.