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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

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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:
DateEvent
February 2005Published
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

Data sourced from Thomson Reuters' Web of Knowledge

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