The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna

Journal of International Money and Finance

Volumn 26, Issue 3, 2007, Pages 383-402

  Disyatat, Piti ^a   Galati, Gabriele ^b  

^a BANK OF THAILAND   (Thailand)

^b BANK FOR INTERNATIONAL SETTLEMENTS   (Switzerland)

Author keywords

Central bank intervention; Exchange rates; Reaction functions

Indexed keywords

EID: 33947324236     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2007.01.001     Document Type: Article

References (55)

1. Abenoja Z. Foreign exchange market intervention: a short review of transmission channels and practices. Bangko Sentral Review 5 2 (2003) 1-25
2. Allen H., and Taylor M. Charts, noise and fundamentals in the foreign exchange market. Economic Journal 100 400 (1992) 49-59
3. Almekinders G. Foreign Exchange Intervention: Theory and Evidence (1995), Edward Elgar
4. Almekinders G., and Eijffinger S. Objectives and Effectiveness of Foreign Exchange Market Intervention - A Survey of the Empirical Literature. Banca Nazionale del Lavoro Quarterly Review 176 (1991) 31-56
5. Azañero Saona J.M. Dinámica del tipo de cambio: una aproximación desde la teoría de la micro estructura del mercado. Estudios Económicos Review 9 (2003)
6. Baillie, R., Humpage, O., 1992. Post-Louvre intervention: did target zones stabilise the dollar? Federal Reserve Bank of Cleveland Working Paper 9203.
7. Barabás G. Coping with the speculative attack against the forint's band. Magyar Nemzeti Bank, Background Studies 2003 3 (2003)
8. Bank for International Settlements, 2004. 74th Annual Report 2004.
9. Bonser-Neal C., and Tanner G. Central bank intervention and the volatility of exchange rates: evidence from the option markets. Journal of International Money and Finance 15 (1996) 853-878
10. Calvo G., and Reinhart C. Fear of floating. Quarterly Journal of Economics 117 (2002) 379-408
11. Canales-Kriljenko, J., 2003. Foreign exchange intervention in developing and transition economies: results of a survey. IMF Working Paper 03 (95).
12. Canales-Kriljenko, J., Guimaraes, R., Karacadag, C., 2003. Official intervention in the foreign exchange market: elements of best practice. IMF Working Paper 03 (152).
13. Cheung, Y., Chinn, M., 1999. Macroeconomic implications of the beliefs and behavior of foreign exchange traders. NBER Working Paper 7417.
14. Connolly R., and Taylor W. Volume and intervention effects of yen/dollar exchange rate volatility, 1977-1979. Advances in Financial Planning and Forecasting vol. 5 (1994), JAI Press, Greenwich, Connecticut
15. Domaç, I., Mendoza, A., 2002. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey. World Bank Policy Research Working Paper 3288.
16. Dominguez K. Central bank intervention and exchange rate volatility. Journal of International Money and Finance 17 (1998) 161-190
17. Dominguez K. The market microstructure of central bank intervention. Journal of International Economics 59 (2003) 25-45
18. Dominguez K., and Frankel J. Does foreign-exchange intervention matter? The portfolio effect. American Economic Review 83 5 (1993) 1356-1369
19. Edison, H., 1993. The effectiveness of central bank intervention: a survey of the literature after 1982. Princeton University Special Papers in International Economics No 18.
20. Evans, M., Lyons, R., 2001. Portfolio balance, price impact and secret intervention. NBER Working Paper 8356.
21. Fatum R., and Hutchison M. Is sterilised foreign exchange intervention effective after all? An event study approach. The Economic Journal 113 (April 2003) 390-411
22. Flores Bahmonde M. Un análisis de las intervenciones del Banco Central de Reserva del Perú: 1999-2001. Estudios Económicos Review, Banco Central de Reserva del Perú 9 (2003)
23. Frankel J., and Froot K. Chartists, fundamentalists and the demand for dollars. In: Courakis A., and Taylor M. (Eds). Private Behaviour and Government Policies in Interdependent Economies (1990), Oxford University Press
24. Friedman M. The case for flexible exchange rates. Essays in Positive Economics (1953), University of Chicago Press, Chicago pp. 157-203
25. Galati, G., Melick, W., 1999. Perceived central bank intervention and market expectations: an empirical study of the yen/dollar exchange rate, 1993-96. BIS Working Papers 77.
26. Galati, G., Melick, W., 2002. Central bank intervention and market expectations. BIS Papers 10.
27. Galati, G., Melick, W., Micu, M. Foreign exchange market intervention and expectations: the yen/dollar exchange rate. Journal of International Money and Finance, in press.
28. Guimarães, R., Karacadag, C., 2004. The empirics of foreign exchange intervention in emerging market countries: the cases of Mexico and Turkey. IMF Working Paper 04 (123).
29. Ho, C., McCauley, R., 2003. Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies. BIS Working Papers 130.
30. Holub, T., 2004. Foreign exchange interventions under inflation targeting: the Czech experience. Czech National Bank Internal Research and Policy Notes.
31. Humpage O. US intervention: assessing the probability of success. Journal of Money, Credit and Banking (1999)
32. Humpage, O., 2003. Government intervention in the foreign exchange market. Federal Reserve Bank of Cleveland Working Paper 03 (15).
33. Hung J. Intervention strategies and exchange rate volatility: a noise trading perspective. Journal of International Money and Finance 6 (1997) 779-793
34. International Monetary Fund, September 1998. International capital markets (Chapter II).
35. Ito, T., Yabu, T., 2004. What prompts Japan to intervene in the forex market? A new approach to a reaction function. NBER Working Paper 10456.
36. Jurgensen, P., Chairman, January 1983. Report of the working group on exchange market intervention (Jurgensen report). Working Group Report.
37. Kearns, J., Rigobon, R., 2002. Identifying the efficacy of central bank interventions: the Australian case. NBER Working Paper 9062.
38. King M. Effective foreign exchange intervention: matching strategies with objectives. International Finance 6 2 (2003) 249-271
39. LeBaron B. Technical trading rule profitability and foreign exchange intervention. Journal of International Economics 49 (1999) 125-143
40. Mandeng, O., 2003. Central bank foreign exchange market intervention and option contract specification: the case of Colombia. IMF Working Paper 03 (135).
41. Murray, J., Zelmer, M., McManus, D., 1997. The effect of intervention on Canadian dollar volatility. In: Fenton, P., Murray, J. (Eds.), Exchange Rates and Monetary Policy, Proceedings of a Conference Hosted by the Bank of Canada, Ottawa, pp. 311-357.
42. Neely C. Technical analysis and the profitability of US foreign exchange intervention. Federal Reserve Bank of St. Louis Review (1998) 3-17
43. Neely C. The practice of central bank intervention: looking under the hood. Federal Reserve Bank of St Louis Review (May/June 2001)
44. Neely C. The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits. Journal of International Economics 58 (2002) 211-232
45. Pattanaik, S., Sahoo, S., June 2003. The effectiveness of intervention in India: an empirical assessment. Reserve Bank of India Occasional Papers 22.
46. Payne R., and Vitale P. A transaction level study of the effects of central bank intervention on exchange rates. Journal of International Economics 61 (2003) 331-352
47. Rhee, Y., Song, C., 1999. Exchange rate policy and effectiveness of intervention: the case of South Korea. In: Collignon, S., Pisani-Ferry, J., Park, Y. (Eds.), Exchange Rate Policies in Emerging Asian Countries, Routledge Studies in the Growth Economies of Asia.
48. Ryu S. An analysis of the effectiveness of intervention for Korea. The Bank of Korea, Foreign Exchange and International Finance Review 1 (May 2003)
49. Sahadevan K. Foreign exchange intervention and future monetary policy: some empirical evidence on signaling hypothesis. ICFAI Journal of Applied Finance 8 4 (July 2002) 67-78
50. Sangmanee, A., 2003. Central bank intervention and market expectations of exchange rate regime shift: the case of the Thai Baht at the onset of the Asian crisis, mimeo.
51. Sarno L., and Taylor M. Official intervention in the foreign exchange market: is it effective, and if so, how does it work. Journal of Economic Literature 34 (2001) 839-868
52. Scalia, A., 2004. Is foreign exchange intervention effective? Some micro-analytical evidence from central Europe, mimeo.
53. Schwartz, A., 2000. The rise and fall of foreign exchange markets intervention. NBER Working Paper 7751.
54. Szakmary A., and Mathur I. Central bank intervention and trading rule profits in foreign exchange markets. Journal of International Money and Finance 16 (1997) 513-535
55. Tapia M., and Tokman A. Effects of foreign exchange intervention under public information: The Chilean case. Economia (Spring 2004) 1-42