Does the Central Bank Management of the Exchange Rate Expectations really Work?
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| Title | Does the Central Bank Management of the Exchange Rate Expectations really Work?
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| Author | Liu Lanbiao, Liu Yongyu and Wang Bo |
| Organization | Nankai University |
| Email | liulanbiao@nankai.edu.cn，nkyongyu@hotmail.com，nkwangbo@nankai.edu.cn |
| Key Words | Forward Guidance; Central Bank Intervention; Arbitrage Expectation; TV-STR |
| Abstract | Based on the RMB Consensus Forecast Data from October 2006 to March 2014, we use the threshold model and the TV-STR model, to explore the impact of central bank forward guidance strategy and direct interventions. The results showed that, in August 2008 and April 2012, the modification of central bank’s forward guidance about RMB exchange rate are expected to make the RMB exchange rate mechanism experience significant structural adjustment. The FX intervention can actually weaken the technical expectation and arbitrage expectation, and the influence is becoming more and more obvious in recent years. Before April 2012, the FX intervention is supposed to have a catalytic role for the regression expectation, after which it is the opposite. Capital control can significantly impair the role of arbitrage expectation, and exert a positive effect on the technical expectation and regression expectation after August 2008, and the effect depends on the extent of current exchange rate misalignment. |
| Serial Number | WP875 |
| Time | 2015-05-19 |
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