Horvath, Roman (2006): Modelling Central Bank Intervention Activity under Inflation Targeting.
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Abstract
Using daily data from the Czech Republic in 1/1/1998-31/12/2002, we find that foreign exchange intervention activity is determined by the degree of exchange rate misalignment and lagged intervention. Additionally, inflation targeting regime is a binding constraint of intervention activity.
| Item Type: | MPRA Paper |
|---|---|
| Institution: | Czech National Bank |
| Original Title: | Modelling Central Bank Intervention Activity under Inflation Targeting |
| Language: | English |
| Keywords: | Foreign exchange intervention; central bank; inflation targeting |
| Subjects: | E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy F - International Economics > F3 - International Finance > F31 - Foreign Exchange F - International Economics > F3 - International Finance > F33 - International Monetary Arrangements and Institutions |
| Item ID: | 914 |
| Depositing User: | Roman Horvath |
| Date Deposited: | 24 Nov 2006 |
| Last Modified: | 30 Sep 2019 01:54 |
| References: | Almekinders, G.J., Eijffinger, S.C.W., 1994. Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$ Rate?, Empirical Economics, 19: 111-130. Almekinders, G.J., Eijffinger, S.C.W., 1996. A Friction Model of Daily Bundesbank and Federal Reserve Intervention, Journal of Banking and Finance, 20: 1365-1380. Babetski, I., Egert, B., 2005. Equilibrium Exchange Rates in the Czech Republic: How Good Is Czech BEER?, Finance a uver - Czech Journal of Economics and Finance, 55: 232-252. Baillie, R.T., W.P. Osterberg, 1997. Why Do Central Banks Intervene?, Journal of International Money and Finance, 16: 909-919. Crespo-Cuaresma, J., Fidrmuc, Jarko, MacDonald, R., 2005. The Monetary Approach to Exchange Rates in the CEECs, Economics of Transition, 12: 395-416. Holub, T., 2004. Foreign Exchange Interventions under Inflation Targeting: The Czech Experience, Czech National Bank Research and Policy Note, No.1/2004. Frenkel, M., Pierdzioch, Ch., Stadtmann, G., 2004. Modelling the Intensity of Foreign Exchange Intervention Activity: an Extension, Economics Letters, 85: 347-351. Ito, T., Yabu, T., 2006. What Promotes Japan to Intervene in the Forex Market? A New Approach to a Reaction Function, Journal of International Money and Finance, forthcoming. Kim, S., Sheen, J, 2002. The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia, Journal of International Money and Finance, 21: 619-649. Kotlan, V., Navratil, D., 2003. Inflation Targeting as a Stabilization Rule: Its Design and Performance in the Czech Republic. Finance a uver - Czech Journal of Economics and Finance, 53: 220-242. Neely, C.J., 2002. The Temporal Pattern of Trading Rule Returns and Central Bank Intervention: Intervention Does Not Generate Technical Trading Rule Profits, Journal of International Economics, 58: 211-232. Sarno, L., Taylor, M.P., 2001. Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?, Journal of Economic Literature, 39: 839-868. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/914 |
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