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Limiting exchange rate swings under a managed floating regime: Evidence from a panel of 24 currencies.

机译：在有管理的浮动汇率制下，限制汇率波动：来自24种货币的证据。

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摘要

The monetary authorities of many open economies regularly intervene in foreign exchange markets with the aim of limiting swings in exchange rates. A survey of exchange rate models reveals, however, that the literature lacks a model that provides an explanation for exchange rate swings and at the same time offers a role for official intervention and parity announcement to affect exchange rate movements. Furthermore, empirical studies suggest that official intervention can have a significant effect on exchange rate movements, but only in the short run (up to 3 months). In this dissertation, I build on the premium model by Frydman and Goldberg (2007), which is based on endogenous prospect theory, and construct a model that provides for swings and a role for intervention. The model implies that intervention aimed at pushing the exchange rate back to some announced or even unannounced parity level at unpredictable moments in time can lead to more limited swings in exchange rates compared to regimes without such policy through an uncertainty premium channel. This new channel follows from one of the key implications of endogenous prospect theory that market participants require a premium as compensation for their greater sensitivity to losses before they are willing to speculate in currency markets. This so-called uncertainty premium depends positively on the gap between the forecast of the future exchange rate and its perceived historical benchmark level. The main contribution of this research is empirical. I first test for the positive relationship between the premium and the gap using a contingency table analysis and regression analysis based on an autoregressive distributive lag model. Then I investigate whether central banks can take advantage of this positive relationship between the gap and the premium in limiting exchange rate swings. My results provide evidence that the gap and the premium are positively related, and that central bank intervention supporting some parity level can lead to swings of smaller magnitude. My empirical analysis is based on survey data on exchange rate forecasts, exchange rate regime classifications and data on changes in reserves, and includes 24 currencies from developed and developing countries.
机译：许多开放经济体的货币当局定期干预外汇市场，以限制汇率波动。然而，对汇率模型的一项调查显示，文献缺乏一种模型，无法为汇率波动提供解释，但同时也为官方干预和平价公告发挥作用，以影响汇率走势。此外，经验研究表明，官方干预可以对汇率变动产生重大影响，但仅在短期内（长达3个月）。在本文中，我基于Frydman和Goldberg（2007）的溢价模型，该模型基于内生预期理论，并构建了一个提供波动和干预作用的模型。该模型暗示，与通过不确定性溢价渠道而没有此类政策的政权相比，旨在在不可预测的时刻将汇率推回某个已宣布甚至未宣布的平价水平的干预措施可能导致汇率波动幅度更有限。这种新的渠道源于内生的前景理论的关键含义之一，即市场参与者在愿意在货币市场上投机之前，需要对他们对损失的更大敏感性进行补偿，以补偿他们的损失。所谓的不确定性溢价在很大程度上取决于对未来汇率的预测与其感知的历史基准水平之间的差距。这项研究的主要贡献是实证。我首先使用列联表分析和基于自回归分布滞后模型的回归分析来检验溢价和差距之间的正相关关系。然后，我研究了中央银行是否可以利用差距与溢价之间的这种正向关系来限制汇率波动。我的结果提供了证据，表明缺口和溢价之间存在正相关关系，而且支持某些平价水平的央行干预可能导致幅度较小的波动。我的经验分析是基于汇率预测的调查数据，汇率制度分类和储备变动数据，并包括来自发达国家和发展中国家的24种货币。

著录项

  • 作者

    Cavusoglu Yalcin, Nevin.;

  • 作者单位

    University of New Hampshire.;

  • 授予单位 University of New Hampshire.;
  • 学科 Economics General.
  • 学位 Ph.D.
  • 年度 2007
  • 页码 229 p.
  • 总页数 229
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 经济学;
  • 关键词

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