The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate
2012/03/02
研討會日期 : 2012-03-02
時間 : 14:30
主講人 : Professor Michael Funke
地點 : Conference Room B110
演講者簡介 : Michael Funke received his Ph.D. in Economics from Free University of Berlin in 1984. He is currently serving as Professor of Economics at Hamburg University. His main research field is in applied macroeconomics.
演講摘要 : This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999 -2011 on the yen/US dollar dynamics.
