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dc.contributor.author Park, Seok Gil
dc.date.accessioned 2007-02-22T15:59:53Z
dc.date.available 2007-02-22T15:59:53Z
dc.date.issued 2007-02-21
dc.identifier.uri http://ssrn.com/abstract=964497 en
dc.identifier.uri http://www.iub.edu/~caepr/RePEc/PDF/CAEPR2007-004.pdf en
dc.identifier.uri http://hdl.handle.net/2022/826
dc.description.abstract Sterilized foreign exchange market interventions have been suspected of being inefficient by many empirical studies, but they are plagued by endogeneity problems. To solve the problems, this paper identifies a system that depicts interactions between the interventions and the foreign exchange rate. The model shows that the interventions are effective when the interventions alter the market participants' conditional expectations of the rate without decreasing the conditional variances. This paper estimates Markov-switching type policy reaction functions by conditional MLE, and market demand/supply curves by IV estimation with generated regressors. The empirical results verify that the interventions of the Bank of Korea from 2001 to 2002 were indeed effective. en
dc.format.extent 222449 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US en
dc.publisher Center for Applied Economics and Policy Research en
dc.relation.ispartofseries CAEPR Working Papers en
dc.relation.ispartofseries 2007-004 en
dc.relation.isversionof This paper can also be found on SSRN and RePEc. en
dc.subject CAEPR en
dc.subject Center for Applied Economics and Policy Research en
dc.subject Sterilized intervention en
dc.subject Endogeneity en
dc.subject Markov-switching policy function en
dc.title Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions en
dc.type Working Paper en


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