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On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar – Deutsche Mark Exchange Market

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  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 24, Issue 1
  5. pp. 50–72

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Eijffinger, S., Gruijters, A. On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar – Deutsche Mark Exchange Market. Credit and Capital Markets – Kredit und Kapital, 24(1), 50-72. https://doi.org/10.3790/ccm.24.1.50
Eijffinger, S. C. W. and Gruijters, A. P. D. "On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar – Deutsche Mark Exchange Market" Credit and Capital Markets – Kredit und Kapital 24.1, 1991, 50-72. https://doi.org/10.3790/ccm.24.1.50
Eijffinger, S. C. W./Gruijters, A. P. D. (1991): On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar – Deutsche Mark Exchange Market, in: Credit and Capital Markets – Kredit und Kapital, vol. 24, iss. 1, 50-72, [online] https://doi.org/10.3790/ccm.24.1.50
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On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar – Deutsche Mark Exchange Market

Eijffinger, S. C. W. | Gruijters, A. P. D.

Credit and Capital Markets – Kredit und Kapital, Vol. 24 (1991), Iss. 1 : pp. 50–72

3 Citations (CrossRef)

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.24.1.50
Language
Multiple languages
Pages
23

Author Details

S. C. W. Eijffinger, Tilburg

A. P. D. Gruijters, Tilburg

Cited By

  2. Risikoprämien an Devisenmärkten

    Literaturverzeichnis

    Schmidt, Roland

    1995

    https://doi.org/10.1007/978-3-663-08931-5_7 [Citations: 0]

  3. Is the Tokyo Foreign Exchange Market Efficient from Two Perspectives of Forward Bias and Anomaly?

    Kurihara, Yutaka

    Modern Economy, Vol. 02 (2011), Iss. 04 P.597

    https://doi.org/10.4236/me.2011.24067 [Citations: 2]

References

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  7. Gleske, L.: Die Devisenpolitik der Deutschen Bundesbank: Interventionen am DM-$-Market und im Europäischen Währungssystem sowie geldmarktorientierte Devisentransaktionen, Kredit und Kapital, 1982, Vol. 15, pp. 259 - 274.  Google Scholar
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  14. Branson, W. H., H. Halttunen & P. Masson: Exchange Rates in the Short Run, The Dollar-Deutsche-Mark Rate, European Economic Review, December 1977, Vol. 10, pp. 303 – 324.  Google Scholar
  15. Dornbusch, R.: Exchange Rate Economics: Where Do We Stand?, Brookings Papers on Economic Activity, 1980, Vol. 1, pp. 143 – 185.  Google Scholar
  16. Eijffinger, S. C. W.: Over de Beheersbaarheid van de Geldhoeveelheid (On the Controllability of the Money Supply), Free University Press, Amsterdam, 1986.  Google Scholar
  17. Eijffinger, S. C. W. & A. P. D. Gruyters: On the Effectiveness of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. dollar-Deutsche Mark Exchange Market, in: Baltensperger, E. & H. W. Sinn (eds.): Exchange Rates Regimes and Currency Union, Proceedings of the Confederation of European Economic Associations 1990, McMillan Publishers, London, 1991.  Google Scholar
  18. Funabashi, Y.: Managing the Dollar: From the Plaza to the Louvre, Institute for International Economics, Washington D.C., 1988.  Google Scholar
  19. Gleske, L.: Die Devisenpolitik der Deutschen Bundesbank: Interventionen am DM-$-Market und im Europäischen Währungssystem sowie geldmarktorientierte Devisentransaktionen, Kredit und Kapital, 1982, Vol. 15, pp. 259 – 274.  Google Scholar
  20. König, H. & W. Gaab: Smoothing Exchange Rates by Central Bank Interventions?, Economic Notes, Monte dei Paschi di Siena, 1982, pp. 177 – 198.  Google Scholar
  21. Lehment, H.: Devisenmarktinterventionen bei flexiblen Wechselkursen. J. C. B. Mohr, Tübingen 1980.  Google Scholar
  22. Neumann, M. J. M.: Intervention in the Mark/Dollar Market: the Authorities' Reaction Function, Journal of International Money and Finance, 1984, Vol. 3, pp. 223 – 239.  Google Scholar
  23. Scholl, F.: Implications of Monetary Targeting for Exchange-Rate Policy, in: P. Meek (ed.), Central Bank Views on Monetary Targeting, Federal Reserve Bank of New York, New York, 1983, pp. 118 – 125.  Google Scholar
  24. Working Group on Exchange Market Intervention (Chairman: Philippe Jurgensen), Report, March 1983.  Google Scholar

Abstract

On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar-Deutsche Mark Exchange Market

The purpose of this article is to specify and to test a short term reaction function of the foreign exchange market intervention by the Deutsche Bundesbank and the Federal Reserve System. Based on the Jurgensen-report and more recent publications, it is assumed that both central banks have as their main objective for intervention policy to smooth exchange rate volatility from day to day and from week to week. Using daily intervention data of the Deutsche Bundesbank and the Federal Reserve System and intra-day data of the U.S. Dollar-Deutsche Mark exchange rate for the period February 1985 – September 1988, the most important conclusions are the following. Firstly, both central banks conducted a "leaning against the wind" policy in order to smooth the U.S. Dollar-Deutsche Mark exchange rate fluctuations more from day to day than from week to week. Secondly, both central banks take full account of the uncertainty in the U.S. Dollar-Deutsche Mark exchange market with respect to their intervention policy.

Table of Contents

Section Title Page Action Price
S. C. W. Eijffinger/A. P. D. Gruijters: On the Short Term Objectives of Daily Intervention\rby the Deutsche Bundesbank and the Federal Reserve System\rin the U.S. Dollar - Deutsche Mark Exchange Market 50
I. Introduction 50
II. The Objectives of Exchange Market Interventions by Central Banks 51
III. An Empirical Study of the Reaction Functions of the Deutsche Bundesbank and Federal Reserve System 56
1. Exchange Market Interventions by the Bundesbank, Federal Reserve and Both Central Banks 58
2. Coordination of Exchange Market Interventions by Both Central Banks 64
3. Effect of Exchange Market Uncertainty on Exchange Market Interventions 65
IV. Conclusion 69
References 70
Zusammenfassung: Beitrag zu den kurzfristigen Zielen der täglichen Beeinflussung des US-Dollar-/Deutschmarkkurses seitens der Deutschen Bundesbank und des Federal-Reserve-System 71
Summary: On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar-Deutsche Mark Exchange Market 71
Résumé: Les objectifs à court terme de l'intervention quotidienne de la Deutsche Bundesbank et du Federal Reserve System sur le marché des changes du dollar américain et du Deutsche Mark 71

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