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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/65026

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65026

Title:	Are Changes in Foreign Exchange Reserves a Good Proxy for Official Intervention?
Authors:	Suardi, Sandy;Chang, Yuanchen
Contributors:	財管系
Keywords:	Foreign exchange reserves;Central bank intervention;Conditional correlation
Date:	2012.10
Issue Date:	2014-03-31 15:44:34 (UTC+8)
Abstract:	Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the intervention and the nature of intervention activity. We find purchases and sales of US dollars intervention produces correlation asymmetry in the US but not in Japan and Germany. Furthermore, the conditional correlation is stronger when intervention frequency and amount increase. Our results are robust to influence of key macroeconomic factors and revaluation effects on foreign reserves.
Relation:	Journal of International Financial Markets, Institutions and Money,22(4), 678-695
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.intfin.2012.04.004
DOI:	10.1016/j.intfin.2012.04.004
Appears in Collections:	[財務管理學系] 期刊論文

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