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Official foreign exchange intervention as a coordinating signal in the dollar-yen market
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Taylor, Mark P. (2005) Official foreign exchange intervention as a coordinating signal in the dollar-yen market. Pacific Economic Review, 10 (1). pp. 73-82. doi:10.1111/j.1468-0106.2005.00261.x
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Official URL: http://dx.doi.org/10.1111/j.1468-0106.2005.00261.x
Abstract
I examine the effectiveness of exchange rate intervention within the context of a Markov-switching model for the real dollar-yen exchange rate over the period April 1991-December 2003. The probability of switching between stable and unstable regimes depends nonlinearly upon the amount of intervention, the degree of misalignment and the duration of the regime. I find that intervention increases the probability of stability when the rate is misaligned, and that its influence grows with the degree of misalignment. However, intervention within a small neighbourhood of equilibrium will result in a greater probability of instability.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Pacific Economic Review | ||||
| Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
| ISSN: | 1361-374X | ||||
| Official Date: | February 2005 | ||||
| Dates: |
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| Volume: | 10 | ||||
| Number: | 1 | ||||
| Number of Pages: | 10 | ||||
| Page Range: | pp. 73-82 | ||||
| DOI: | 10.1111/j.1468-0106.2005.00261.x | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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