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 ISSN 1361-374X.

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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:	Date Event February 2005 Published
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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