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Measuring the Impact of Intervention on Exchange Market Pressure

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Abstract

We introduce an index of ex ante exchange market pressure (EMP) that can be used as a benchmark against which to measure the effectiveness of sterilized intervention. Ex ante EMP is the change in the exchange rate that would be observed if the authorities refrain from intervening and agents correctly anticipate this outcome. Ex post EMP measures exchange market pressure under the policy actually implemented. We use a ratio of these two EMP measures to assess the effectiveness of sterilized intervention in Canada and Australia, and find that its effects persist even in quarterly data.

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  • P. Siklos, D. Waymark, 2006. "Measuring the Impact of Intervention on Exchange Market Pressure," Working Papers eg0048, Wilfrid Laurier University, Department of Economics, revised 2006.
    • Handle: RePEc:wlu:wpaper:eg0048
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    Cited by:

    1. Pierre L. Siklos & Diana N. Weymark, 2007. "Is Sterilized Intervention Effective? New International Evidence," Working Papers 142007, Hong Kong Institute for Monetary Research.

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    More about this item

    Keywords

    exchange market pressure; foreign exchange intervention; Bank of Canada;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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