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1、TheEconomicJournal,113(April),390–411.ÓRoyalEconomicSociety2003.PublishedbyBlackwellPublishing,9600GarsingtonRoad,OxfordOX42DQ,UKand350MainStreet,Malden,MA02148,USA.ISSTERILISEDFOREIGNEXCHANGEINTERVENTIONEFFECTIVEAFTERALL?ANEVENTSTUDYAPPROACH*RasmusFatumandMichaelM.HutchisonThisstudyprovidese
2、videncesupportingtheeffectivenessofsterilisedforeignexchangemarketinterventionbycentralbanksusinganeventstudyapproach.Aneventstudyframeworkisbettersuitedtothestudyofsporadicandintenseperiodsofofficialintervention,juxtaposedwithcontinuouslychangingexchangerates,thanstandardtime-seriesstudies.Fo
3、cusingondailyBundesbankandUSofficialinterventionoperations,weidentifyseparateintervention‘episodes’andanalysethesubsequenteffectontheexchangerate.Usingthenon-parametricsigntestandmatched-sampletest,wefindstrongevidencethatsterilisedinterventionsys-temicallyaffectstheexchangerateintheshortrun.Th
4、isresultisrobusttochangesineventwindowdefinitionsovertheshortrunandtocontrollingforcentralbankinterestratechangesduringevents.Theeffectivenessofsterilisedforeignexchangeinterventionhasbeenthefocusofanongoingandunresolveddisputesincetheso-calledJurgensenreport(Jur-1gensen,1983).Whileempiricalre
5、searchoftenfindsonlyweakornoevidenceinfavourofalinkbetweensterilisedinterventionandassociatedmovementsofex-changerates,policymakersneverthelessseemtoviewsterilisedinterventionasan2instrumentforpolicyand,fromtimetotime,makeuseofthisinstrument.Thetheoreticaljustificationofferedbythe‘portfoliobala
6、nce’channel,throughwhichsterilisedinterventionchangesthecurrencydenominationofrelativeassetsuppliesandtherebytheexchangeriskpremiumifassetsareimperfectsubstitutes,hasreceivedmixedempiricalsupport(DominguezandFrankel,1993a,b;Edison,1993;Rogoff,1984).Evidenceinfavourofa‘signalling’channel,throu
7、ghwhichsterilisedinterven-tioniseffectiveinprovidingnewinformationaboutpolicyintentionsand,ifcredible,therebyfuturefundamentals,issimilarlymixed.KaminskyandLewis(1996)findthatUSinterventionsometimessignalsmonetarypolicyindicatorsintheopposited
