Title: The impact of FX Central Bank intervention in a noise trading framework
Authors: Beine, M. ×
De Grauwe, Paul #
Issue Date: Jul-2009
Series Title: Journal of banking & finance vol:33 issue:7 pages:1187-1195
Abstract: In this paper, we analyse the effectiveness of the direct central bank interventions using a new effectiveness criterion. To this aim, we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a fundamental value. Then, we investigate the role of central bank interventions for explaining the switching properties between the two types of agents. We find evidence that in the medium run, interventions increase the proportion of fundamentalists and therefore exert some stabilizing influence on the exchange rate.
ISSN: 0378-4266
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
impactofFX.pdf Published 359KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science