A New Method for Identifying the Effects of Foreign Exchange Interventions
2011/09/27
研討會日期 : 2011-09-27
時間 : 14:30
主講人 : Professor Chin-Nan Chen
地點 : Conference Room B110
演講者簡介 : Chin-Nan Chen received his Ph.D. in Economics from Boston University in 2008. He is currently serving as Assistant Professor of Economics at National Taipei University. His research field is in health economics, econometrics and international finance.
演講摘要 : Central banks react even to intraday changes in the exchange rate; however, in most cases, intervention data is available only at a daily frequency. This temporal aggregation makes it difficult to identify the effects of interventions on the exchange rate. We apply the Bayesian MCMC approach to this endogeneity problem. We use “data augmentation” to obtain intra-day intervention amounts and estimate the efficacy of interventions using the augmented data. Applying this new method to Japanese data, we find that an intervention of one trillion yen moves the yen/dollar rate by 1.8 percent, which is more than twice as much as the magnitude reported in previous studies applying OLS to daily observations. This shows the quantitative importance of the endogeneity problem due to temporal aggregation.
