Are changes in foreign exchange reserves well correlated with official intervention
Are changes in foreign exchange reserves well correlated with official intervention
复制标题
外汇储备的变化与官方干预密切相关吗
DOI：
10.20955/r.82.17-32
复制
发表时间：
2000
期刊：
影响因子：
--
通讯作者：
Christopher J. Neely
中科院分区：
文献类型：
--
作者：
Christopher J. Neely
中央银行干预和储备变化的汇总统计数据日期1日期2 m s| M|最小最大r 1 r 2 r 3 r 4 Intv US 1973.04 1998.12 -31.0 859.8 355.0 -3413.2 6735.0 .477 .197 .182 .162 FXR US 1973.04 1998.12 116.5 1275.4 740.6 - 7341.0 5667.0 .209 .154 .131 .080Intv G 1976.01 1996.10 -150.0 713.4 380.0 -4895.4 1667.0 .471 .216 .145 .133 FXR G 1976.01 1996.10 222.9 4968.8 1973.6 - 31629.0 53242.0 -.241 -.151 .097 -.022 Intv SW 1986.01 1995.12 -12.0 94.7 34.0 -718.2 210.0 .193 .054 .088 .101 FXR SW 1986.01 1995.12 143.5 1653.8 1199.0 - 4686.0 5996.0 -.317 -.311 .435 -.241注：表中各栏显示样本的开始和结束日期、平均值、标准差、平均绝对值、每月干预的最小值和最大值以及储量变化。r1到r4表示每个序列的前四个自相关系数。变量名称如下：Intv US是市场内和客户购买量; INFXR US是美国外汇储备的变化; Intv
Summary Statistics on Central Bank Intervention and Changes in Reserves Date 1 Date 2 m s | m | Min Max r 1 r 2 r 3 r 4 Intv US 1973.04 1998.12 -31.0 859.8 355.0 -3413.2 6735.0 .477 .197 .182 .162 ∆ FXR US 1973.04 1998.12 116.5 1275.4 740.6 -7341.0 5667.0 .209 .154 .131 .080Intv G 1976.01 1996.10 -150.0 713.4 380.0 -4895.4 1667.0 .471 .216 .145 .133 ∆ FXR G 1976.01 1996.10 222.9 4968.8 1973.6 -31629.0 53242.0 -.241 -.151 .097 -.022Intv SW 1986.01 1995.12 -12.0 94.7 34.0 -718.2 210.0 .193 .054 .088 .101 ∆ FXR SW 1986.01 1995.12 143.5 1653.8 1199.0 -4686.0 5996.0 -.317 -.311 .435 -.241NOTES: The columns of the table show the beginning and ending dates of samples, the means, standard deviations,mean absolute values, minimum and maximum for monthly intervention and changes in reserves. r 1 through r 4 denotethe first four autocorrelation coefficients of each series. The variable names are as follows: Intv US is in-market and with-customer purchases; ∆FXR US is the change in U.S. foreign exchange reserves; Intv