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2010年11月 8日 (月)

豪ドル介入の件

「豪ドル介入の件」

*11月6日のセントラル短資FXさんのセミナーで触れた豪ドルの介入のグラフです

*見えにくいですがピンクが買い介入、青が売り介入です

*このグラフには出ていませんが、その後2008年10月に0.6で買い介入したのは記憶に新しいところです(リーマンショックでのリスク回避で豪ドルが売られた時

*解説文が下にありますので、お時間があればお読みください。

Ws000019

*9. Has Intervention Been Effective?

Evaluating the effectiveness of intervention is a difficult process because it cannot be known how the exchange rate would have behaved in the absence of intervention. In addition, in estimating the contemporaneous effect of intervention there is an endogeneity problem; that is, intervention is largely triggered by exchange rate movements, yet intervention can cause exchange rate movements. These difficulties have led to the development of a number of different methods of evaluating the effectiveness of intervention, two of which have been employed by Reserve Bank staff in recent years to evaluate the effectiveness of RBA intervention.

The first (Kearns and Rigobon, 2003), which attempted to capture the interdependence of exchange rate movements and central bank intervention, supported the description of RBA intervention as ‘leaning against the wind’. i.e. acting to slow or correct excessive trends in the exchange rate. Intervention was found to have a significant effect on the exchange rate, particularly on the day of intervention.

The second (Becker and Sinclair, 2004) used the ‘profits test’ to evaluate the effectiveness of intervention, as advocated by Friedman (1953).8 The application of the profits test relies on the central bank acting as a stabilising long-term speculator. If the objective of the central bank is to limit fluctuations in the exchange rate, this will tend to involve the purchase of the local currency (sale of foreign exchange) when the exchange rate is relatively low, and the sale of the local currency (purchase of foreign exchange) when the exchange rate is high. If the central bank is successful in buying low and selling high, its intervention should yield a profit. It follows from this that if a central bank has been profitable in its intervention, it must have bought low and sold high, therefore contributing to the stabilisation of the exchange rate.

The graph below demonstrates that during each cycle the RBA has been successful in buying low and selling high in its intervention activities. The horizontal lines represent the average exchange rate at which net transactions were undertaken for particular periods. The fact that the RBA’s intervention activities since the float have been profitable provides an indication that the RBA’s intervention has therefore worked to stabilise the exchange rate during each cycle. The wider gap between average buy and sell rates in the latter period on the graph also shows the change in the RBA’s intervention stance, which now focuses on larger movements in the exchange rate.

 以上

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