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dc.contributor.authorFatum, Rasmusen_US
dc.contributor.authorHutchison, Michael M.en_US
dc.date.accessioned2009-07-14en_US
dc.date.accessioned2012-09-21T11:54:59Z-
dc.date.available2012-09-21T11:54:59Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/64077-
dc.description.abstractStudies of central bank intervention are complicated by the fact that we typically observe intervention only during periods of turbulent exchange markets. Furthermore, entering the market during these particular periods is a conscious self-selection” choice made by the intervening central bank. We estimate the counterfactual” exchange rate movements that allow us to determine what would have occurred in the absence of intervention and we introduce the method of propensity score matching to the intervention literature in order to estimate the average treatment effect” (ATE) of intervention. Specifically, we estimate the ATE for daily Bank of Japan intervention over the January 1999 to March 2004 period. This sample encompasses a remarkable variation in intervention frequencies as well as unprecedented frequent intervention towards the latter part of the period. We find that the effects of intervention vary dramatically and inversely with the frequency of intervention: Intervention is effective over the 1999 to 2002 period, ineffective during 2003 and counterproductive during the first quarter of 2004.en_US
dc.language.isoengen_US
dc.publisherSanta Cruz Inst. for International Economics Santa Cruz, Calif.en_US
dc.relation.ispartofseriesWorking Papers, Santa Cruz Center for International Economics 06-04en_US
dc.subject.jelE58en_US
dc.subject.jelF31en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordforeign exchange interventionen_US
dc.subject.keywordBank of Japanen_US
dc.subject.keywordself-selectionen_US
dc.subject.keywordmatching methodsen_US
dc.subject.stwWechselkurspolitiken_US
dc.subject.stwMatchingen_US
dc.subject.stwStichprobenverfahrenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwJapanen_US
dc.titleEvaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effectsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn604626711en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz

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