dc.contributor.author | Beine, Michel | |
dc.contributor.author | De Grauwe, Paul | |
dc.contributor.author | Grimaldi, Marianna | |
dc.date.accessioned | 2011-10-26T10:59:36Z | |
dc.date.available | 2011-10-26T10:59:36Z | |
dc.date.issued | 2006 | |
dc.identifier.issn | 1503-3031 | |
dc.identifier.uri | http://hdl.handle.net/11250/95191 | |
dc.description.abstract | In this paper, we investigate the effects of central bank interventions (CBI) in a noise trading
model with chartists and fundamentalists. We first estimate a model in which chartists
extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange
rate towards a fundamental value. Then, we investigate the role of central bank interventions
for explaining the switching properties between the two types of agents. We find
evidence that in the medium run, interventions increase the proportion of fundamentalists
and therefore exert some stabilzing influence on the exchange rate. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Handelshøyskolen BI, Centre for Monetary Economics (CME) | en_US |
dc.relation.ispartofseries | CME Working paper series;2/2006 | |
dc.title | The impact of FX Central Bank Intervention in a Noise Trading Framework | en_US |
dc.type | Working paper | en_US |
dc.source.pagenumber | 36 s. | en_US |