A dynamic model of central bank intervention

This January 2005 Working Paper from the Central Bank of Turkey examines central bank intervention in foreign exchange markets using a dynamic censored regression model.

The authors allow the amount of purchase and sale interventions to depend nonlinearly upon lagged values of intervention and on measures of disorderly foreign exchange markets. Using data for the CBRT, they find persistence in interventions, which may suggest the presence of political costs and/or a signal of future monetary

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