DSpace - Tor Vergata: Item 2108/310

Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/310

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DC Field	Value	Language
contributor.author	Corrado, Luisa	-
contributor.author	Miller, Marcus	-
contributor.author	Zhang, Lei	-
date.accessioned	2007-02-21T15:08:35Z	-
date.available	2007-02-21T15:08:35Z	-
date.issued	2007-02	-
identifier.uri	http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962489	-
identifier.uri	http://hdl.handle.net/2108/310	-
description.abstract	In this paper we show how trading rules can generate excess volatility in the exchange rate through repeated entry and exit of currency bears and bulls. This is something of a caricature: but it allows us to show that offcial action can have self-fulfilling effects as market composition shifts in ways that support offcial stabilization. Intervention if and when the rate moves outside what Williamson has labelled 'monitoring bands' can reduce market volatility as the effect of the policy is to select endogenously traders from the market whose expectations match offcial intervention.	en
format.extent	1290062 bytes	-
format.mimetype	application/pdf	-
language.iso	en	en
publisher	CEIS	en
relation.ispartofseries	CEIS Tor Vergata Research Paper; 92	en
subject	monitoring rules	en
subject	monitoring band	en
subject	bear and bull traders	en
subject	excess volatility	en
subject	Central Bank volatility	en
title	Monitoring bands and monitoring rules: how currency intervention can change market composition	en
type	Article	en
subject.jel	D52; Incomplete markets	en
subject.jel	F31; Foreign exchange	en
subject.jel	G12; Asset pricing	en
Appears in Collections:	Research papers

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