A New Method for Identifying the Effects of Foreign Exchange Intervention PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A New Method for Identifying the Effects of Foreign Exchange Intervention PDF full book. Access full book title A New Method for Identifying the Effects of Foreign Exchange Intervention by Chih-nan Chen. Download full books in PDF and EPUB format.

A New Method for Identifying the Effects of Foreign Exchange Intervention

A New Method for Identifying the Effects of Foreign Exchange Intervention PDF Author: Chih-nan Chen
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 36

Book Description
"The monetary authorities react even to intraday changes in the exchange rate; however, in most cases, intervention data is available only at a daily frequency. This temporal aggregation makes it difficult to identify the effects of interventions on the exchange rate. We propose a new method based on Markov Chain Monte Carlo simulations to cope with this endogeneity problem: We use "data augmentation" to obtain intraday intervention amounts and then estimate the efficacy of interventions using the augmented data. Applying this method to Japanese data, we find that an intervention of one trillion yen moves the yen/dollar rate by 1.7 percent, which is more than twice as large as the magnitude reported in previous studies applying OLS to daily observations . This shows the quantitative importance of the endogeneity problem due to temporal aggregation."--Authors' abstract.
➤