Are foreign exchange intervention and monetary policy related, and does it really matter?
Article Abstract:
The relationship between foreign exchange intervention and monetary policy is examined. The impact of innovations to several measures of monetary policy variables on exchange rates is also investigated. For the study, data on US foreign exchange interventions from 1985 to 1990, which were made available to the public only recently, are used. Results show that significant correlations exist in both directions between the foreign exchange intervention and monetary policy. In addition, there seems to be a stronger systematic relationship between positive innovations in nonborrowed reserves and depreciation in the dollar exchange rates than between innovations and M1. This supports the Christiano-Eichenbaum assumption that M1 has a bigger endogenous part compared to nonborrowed reserves.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1995
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Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests
Article Abstract:
Actual market data is used to test seven duration measures to determine whether any is a satisfactory measure of basis risk. Results show that none of the durations is adequate as a measure of basis risk. Data analysis reveals that the relation between returns and duration appears to be nonlinear, contrary to the hypotheses of the duration measures. Simple factor models are identified as superior measures. The duration measures are not satisfactory for fixed-income performance comparisons, and immunization strategies based on duration may not work.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1984
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