Currency Conversion White Papers
Are Changes in Foreign Exchange Reserves well Correlated with Official Intervention?
Overview
We compare U.S., Swiss, and German intervention series with measures
derived from reserves data using time series graphs, correlations, seasonal adjustment, and other statistical
procedures. We consider whether any simple adjustments can make reserves better proxies for intervention. We must be circumspect in our conclusions,
however, as the three cases we use may
not be representative of the relationship between foreign exchange reserves and intervention in other
countries—or, over other time spans.
The next two sections of this article will describe briefly the motives for holding international reserves and for intervening in currency markets. The fourth section considers reasons why changes in reserves may not correspond perfectly to intervention. The fifth
section compares changes in foreign exchange reserves to intervention data for the United States, Germany, and Switzerland using time series statistics, rolling and static correlations. The final section draws conclusions and suggests avenues for further research.
| Publisher | Federal Reserve Bank of St. Louis | File Format | PDF, requires Acrobat Rdr 5 |
|---|---|---|---|
| Date Published | August 2003 | Downloads | 35 |
| Format | White Papers | ||
| Topics | |||
-
Did you find this white paper useful? 5 out of 8 users found this white paper useful
White Paper RSS
Download
Register
