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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18984| Title: | The impact of FX central bank intervention in a noise trading framework |
| Keywords: | F31 F33 ddc:330 Wechselkurspolitik Devisenhandel Noise Trading Wertpapieranalyse Schätzung Wechselkurs Volatilität Theorie EU-Staaten USA |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| Description: | In this paper 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 in 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/18984 |
| Other Identifiers: | http://hdl.handle.net/10419/18984 ppn:500540519 |
| Appears in Collections: | EconStor |
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