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Currency intervention: a case study of an emerging market

Fry-McKibbin, Renée A; Wanaguru, Sumila

Description

Using a unique dataset on daily foreign exchange intervention and a new methodological framework of a latent factor model of central bank intervention, this paper addresses the effects of intervention in an emerging market. Events in financial markets from 2002 to 2010 provide a natural experiment to evaluate the short and medium term objectives of the central bank to contain excessive exchange rate volatility and to accumulate foreign reserves respectively. In the low volatility period in the...[Show more]

CollectionsANU Research Publications
Date published: 2013-10
Type: Journal article
URI: http://hdl.handle.net/1885/11651
Source: Journal of International Money and Finance 37 (2013): 25-47
DOI: 10.1016/j.jimonfin.2013.05.007

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