Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market
研究美国外汇市场干预是否通过信号未来货币政策影响汇率，利用联邦基金期货利率衡量预期，发现1989-93年数据不支持信号假说，但干预增加了市场波动。
for providing data, two anonymous referees, Yin-Wong Cheung and seminar participants at EPRU and the Department of International Economics and Management of the Copenhagen Business School for detailed Sterilized foreign exchange market intervention may affect the exchange rate if it signals future monetary policy actions. Signaling will be effective if the central bank backs up intervention with predictable changes in the stance of monetary policy and, in turn, affects current expectations. We investigate whether daily intervention operations in the United States are related to changes in expectations over the stance of future monetary policy, where expectations are proxied by Federal funds futures rates. This relatively new futures market instrument has proved to be an efficient and unbiased predictor of the future spot Federal funds rate. Estimates obtained from a GARCH time-series model over the 1989-93 period using daily data do not support the signaling hypothesis: dollar-support intervention is not related to a rise in expected future short-term interest rates (monetary tightening). However, intervention appears to significantly increase the conditional variance of Federal funds future rates, suggesting that it adds considerable noise to the market and possibly increasing the The effect of foreign exchange market intervention on exchange rates is a subject of continuing