@techreport{Reitz2006coordination,
abstract = {The coordination channel has been proposed as a means by which foreign
exchange market intervention may be effective, in addition to the traditional
portfolio balance and signaling channels. If strong and persistent misalignments of
the exchange rate are caused by non-fundamental influences, such that a return to
equilibrium is hampered by a coordination failure among fundamentals-based
traders, then central bank intervention may act as a coordinating signal,
encouraging stabilizing speculators to re-enter the market at the same time. We
develop this idea in the framework of a simple microstructural model of exchange
rate movements, which we then estimate using daily data on the dollar-mark
exchange rate and on Federal Reserve and Bundesbank intervention operations.
The results are supportive of the existence of a coordination channel of
intervention effectiveness.},
author = {Stefan Reitz and Mark P. Taylor},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C10; F41; F31; 330; foreign exchange intervention; coordination channel; market microstructure; nonlinear mean reversion; Wechselkurspolitik; Internationale wirtschaftspolitische Koordination; Devisenspekulation; Devisenmarkt; Mikrostrukturanalyse; Sch\"{a}tzung; Theorie; Deutschland; USA},
language = {eng},
number = {2006,08},
title = {The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19636},
year = {2006}
}
