The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate

  • Yu-Fu Chen, ·Michael Funke, ·Nicole Glanemann
  • Published 2011

Abstract

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 the 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.

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Cite this paper

@inproceedings{Chen2011TheSC, title={The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate}, author={Yu-Fu Chen and ·Michael Funke and ·Nicole Glanemann}, year={2011} }