Eij inge , S. C. W.; G uij e s, A. P. D.
A icle
On he Sho Te m Objec i es o Daily In e en ion by he Deu sche
Bundesbank and he Fede al Rese e Sys em in he U.S. Dolla –
Deu sche Ma k Exchange Ma ke
K edi und Kapi al
P o ided in Coope a ion wi h:
Duncke & Humblo , Be lin
Sugges ed Ci a ion: Eij inge , S. C. W.; G uij e s, A. P. D. (1991) : On he Sho Te m Objec i es o
Daily In e en ion by he Deu sche Bundesbank and he Fede al Rese e Sys em in he U.S. Dolla –
Deu sche Ma k Exchange Ma ke , K edi und Kapi al, ISSN 0023-4591, Duncke & Humblo , Be lin,
Vol. 24, Iss. 1, pp. 50-72,
h ps://doi.o g/10.3790/ccm.24.1.50
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On he Sho Te m Objec i es o Daily In e en ion
by he Deu sche Bundesbank and he Fede al Rese e Sys em
in he U.S. Dolla - Deu sche Ma k Exchange Ma ke
By S. C. W. Eij inge and A. P. D. G uij e s, Tilbu g*
I. In oduc ion
In his s udy he objec i es o o icial in e en ion by cen al banks in he
U.S. dolla - Deu sche Ma k exchange ma ke will be examined, in pa icu-
la o he sho un1. We will y o de e mina e empi ically he sho e m
eac ion unc ions wi h ega d o he dolla -DM exchange ma ke in e en-
ion by he Deu sche Bundesbank and/o he Fede al Rese e Sys em. Fu -
he mo e, we will s udy he deg ee o coo dina ion be ween he exchange
ma ke in e en ions o bo h cen al banks. Finally, we will examine he
e ec o exchange ma ke unce ain y on he Bundesbank and/o Fede al
Rese e in e en ions in he sho un.
The poin s o depa u e o his empi al s udy a e he ollowing ou .
Fi s ly, he s udy concen a es on in e en ion o bo h cen al banks in he
spo dolla -DM exchange ma ke . The e o e, we ake no accoun o in e -
en ion in he o wa d dolla -DM exchange ma ke , no in e en ion in
membe cu encies by he Bundesbank as a consequence o he commi -
men s wi hin he Eu opean Mone a y Sys em (EMS)2.
Secondly, he s udy uses daily obse a ions o he o icial in e en ions
in he dolla -DM exchange ma ke . In his espec i comp ises an empi ical
no el y.
* The a icle o igina es om a Visi ing Schola ship o D . Syl es e Eij inge a
he Deu sche Bundesbank du ing he Summe o 1988. The au ho s a e g a e ul o
P o esso s Helmu Schlesinge and Leonha d Gleske and M . F anz Scholl o e y
use ul and s imula ing discussions. Also hey wan o hank D . Theo Nijman, M . Lex
Hoogduin and an anonymous e e ee o help ul commen s on an ea lie d a o his
a icle. All emaining e o s a e he sole esponsibili y o he au o s.
1 The e ec i eness o o icial in e en ion by cen al banks in he dolla -DM
exchange ma ke is s udied in: Eij inge and G uij e s (1991).
2 An example o a eac ion unc ion o in e en ion on behal o he EMS is gi en
by: Eij inge (1986), pp. 271 - 275 and 293 - 298.
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On he Sho Te m Objec i es o Daily In e en ion 51
Thi dly, he s udy ocuses only on he so-called 'ac i e' in e en ion which
akes place inside he dolla -DM exchange ma ke and is in ended o in lu-
ence he spo dolla -DM exchange a e, al hough i may occasionally be
mo i a ed by a policy o he cen al bank o build up o eplenish i s o eign
exchange ese es. Hence, 'passi e' in e en ion which akes place ou side
he ma ke is le ou o conside a ion. Examples o such 'passi e' in e en-
ion a e he pu chase o dolla s om and compensa ion paymen s o he
U.S. a my in Wes Ge many by he Bundesbank, he cus ome ansac ions
o he U.S. and Wes Ge man go e nmen and he in e es paymen s on he
Bundesbank dolla ese es a he Fede al Rese e and on he Fede al
Rese e DM- ese es a he Bundesbank.
Fou hly, he sample o pe iod o his s udy comp ises he Plaza Ag ee-
men o Sep embe 1985, he Lou e Acco d o Feb ua y 1987, he S ock
Ma ke C ash o Oc obe 1987 and i s a e ma h3.
I is ou opinion ha his pe iod di e s essen ially om he p eceding
pe iod o he ea ly 1980s which has been cha ac e ized by a 'benign neglec '
policy o he Fede al Rese e ega ding he dolla -DM a e.
II. The Objec i es o Exchange Ma ke In e en ions by Cen al Banks
Be o e u ning o an empi ical s udy o he sho e m eac ion unc ions
o daily in e en ions by he Bundesbank and Fede al Rese e, he objec-
i es o exchange ma ke in e en ion by cen al banks (G-7 coun ies) a e
examined in gene al and by he Bundesbank and Fede al Rese e in pa icu-
la .
Figu e 1 summa izes he sho e m, medium e m, long e m and o he
objec i es o in e en ions by cen al banks du ing he pe iod o loa ing
exchange a es. These objec i es a e no mu ually exclusi e and may ha e
a ied in weigh in he cou se o he pe iod4.
In he sho e m all cen al banks ha e a common objec i e o "coun e -
ing diso de ly exchange ma ke condi ions" as pa o hei commi men o
p omo ing a s able exchange a e sys em in acco dance wi h A icle IV o
he A icles o Ag eemen o he In e na ional Mone a y Fund as amended
in 1978. "Diso de ly ma ke condi ions" a e supposed o be indica ed by a
3 An excellen su ey o hese e en s and hei backg ound is p esen ed in:
Funabashi (1988).
4 This summa y d aws upon he so-called 'Ju gensen-Reipo V, made by an expe s
g oup om he G-7 coun ies on exchange ma ke in e en ions in hese coun ies:
Wo king G oup on Exchange Ma ke In e en ion (1983).
4:
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52 S. C. W. Eij inge and A. P. D. G uij e s
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On he Sho Te m Objec i es o Daily In e en ion
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54 S. C. W. Eij inge and A. P. D. G uij e s
subs an ial widening o bid-asked sp eads, la ge in aday exchange a e
mo emen s, " hin" o highly unce ain ading, des ablishing impac s o
essen ially non-economic shocks and sel -sus aining exchange a e mo e-
men s which may gain a momen um o hei own ("bandwagon"-e ec s).
The medium e m objec i es ega d o esis ing la ge sho e m exchange
a e mo emen s o "e a ic luc ua ions" which exceed a ce ain size, buy-
ing ime by he cen al banks o eassess hei policies and "leaning agains
he wind" which has been pu sued by some o e sho pe iods and by o he s
o e longe pe iods. The equency o his las s a egy a ies om occa-
sional use in case o "diso de ly ma ke condi ions" by he Fede al Rese e
Sys em o mo e egula use by he Bundesbank. The Bundesbank '... has
sough om he onse o loa ing o coun e diso de ly ma ke condi ions,
dampen "e a ic" sho - e m exchange a e luc ua ions and smoo h ou
excessi e swings in he DM/US dolla a e o e longe pe iods'5.
The long e m objec i es a y om esis ing exchange a e mo emen s
which a e belie ed o be unjus i ied wi h espec o he undamen als (in la-
ion, money g ow h, balance o paymen s accoun s, e c.) and a emp s o gi e
some leeway o mone a y policy by lessening he o eign impac on domes ic
mone a y condi ions, o esis ing dep ecia ion because o i s in la iona y
e ec s and esis ing app ecia ion in o de o main ain compe i i eness.
O he objec i es a e e.g. a emp s o acqui e o eign cu encies wi hou gen-
e a ing ( enewed) downwa d p essu e on he domes ic cu ency.
Ou in es iga ion in o he in e en ion beha iou o he Bundesbank and
he Fede al Rese e is based p incipally on he s a emen s made by cen al
banke s in he Ju gensen- epo on exchange ma ke in e en ion (1983).
Ideally, he in e en ion beha iou should be explained in a gene al equilib-
ium model accoun ing o bo h sho - e m and long- e m objec i es o he
cen al banks, bu also accoun ing o he e ec i eness o hese in e en-
ions, o he mone a y policy objec i es o he cen al banks, he exchange
a e expec a ions o he economic agen s and, las bu no leas , he de elop-
men o he exchange a e de e minan s, he so-called ma ke undamen als.
The in en ion o his a icle is howe e mo e modes . We ha e decided o
es a eac ion unc ion o he Bundesbank and he Fede al Rese e e e ing
o he sho - e m objec i e o hei in e en ions, i.e. he smoo hing o daily
exchange a e ola ili y, o se e al easons.
5 F om: Wo king G oup on Exchange Ma ke In e en ion (1983), p. 13. This is
con i med by Gleske (1982): 'Die In e en ionen am DM-$ Ma k sind also in e s e
Linie au die Glä ung on Ku sschwankungen ge ich e ' (p. 266). See also Scholl
(1983).
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On he Sho Te m Objec i es o Daily In e en ion 55
Fi s o all, p e ious empi ical s udies6 o eac ion unc ions o cen al
banks concen a ed on he longe e m objec i es. On he con a y, ou
empi ical s udy ocuses on he sho e - e m objec i es, using daily in e en-
ion da a o he Bundesbank and he Fede al Rese e.
Secondly, he Ge man and Ame ican au ho i ies decla ed o ha e in e -
ened mainly o dampen 'e a ic' sho - e m exchange a e luc ua ions and
o coun e 'diso de ly exchange ma ke condi ions'. Fu he mo e, he
Ju gensen- epo poin s ou ha in e en ion had been especially an e ec-
i e ool o in luencing he beha iou o he exchange a e in he sho un.
Based on his pas expe ience we in es iga e whe he he Bundesbank and
he Fede al Rese e used in e en ions as an ins umen wi h a sho - e m
objec i e, i.e. smoo hing exchange a e luc ua ions.
The disad an age o such an app oach is he anishing ela ion be ween
in e en ion and he " undamen als" which a e measu ed on mon hly o qua -
e ly base. Ne e heless, his app oach has an decisi e ad an age, because i
cap u es be e he equency and pa e n o exchange ma ke in e en ion
wi h espec o "coun e ing diso de " and "leaning agains he wind" o e
sho pe iods. Ou s udy is aiming a an explana ion o he in e en ion
beha iou o he Bundesbank and he Fede al Rese e om day o day and
om week o week.
The eby i should be no iced ha he in e en ion beha iou o cen al
banks is no only e lec ed in he di ec ion and olume, bu also in he im-
ing and echnique o in e en ion7. The iming e e s o he ques ion
whe he he exchange ma ke is " hin" and unce ain o no , while he ech-
nique ela es o he way in which a cen al bank implemen s i s in e en-
ion,
i. e.
by domes ic and possibly o eign comme cial banks o by cu ency
b oke s wi h di e en announcemen e ec s.
Despi e he impo ance o bo h iming and echnique o in e en ion
beha iou , hese elemen s can no be aken in o accoun by ou s udy and
will su ely de ac om he explana o y powe o he in e en ion eac ion
unc ions.
6 Examples o such empi ical s udies a e: A us (1976), B anson, Hal unen & Mas-
son (1977), Lehmen (1980), Do nbusch (1980), König & Gaab (1983) and Neumann
(1984). Those s udies co e he pe iod o loa ing exchange a es om 1973 up o 1981.
7 This is clea ly pu by Gleske (1982): "In eine bes imm en Si ua ion mögen be ei s
ge inge In e en ionsbe äge genügen, eine une wünsch e Ku sen wicklung zu b em-
sen ode ga umzukeh en. In eine ande en Si ua ion können selbs hohe In e en-
ionsbe äge das Gegen eil bewi ken, wenn nämlich die Ma k eilnehme on de
S ä ke eines G und ends übe zeug sind ..." (p. 265).
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56 S. C. W. Eij inge and A. P. D. G uij e s
III. An Empi ical S udy o he Reac ion Func ions
o he Deu sche Bundesbank and Fede al Rese e Sys em
An empi ical s udy o he eac ion unc ions o daily in e en ions by he
Deu sche Bundesbank and Fede al Rese e Sys em in he spo U.S. dolla -
Deu sche Ma k exchange ma ke mus ake accoun o he de elopmen o
he dolla -DM exchange a e be ween successi e days (in e day), as well as
in he cou se o hese days (in aday). A comple e ep esen a ion o he
in aday de elopmen o he dolla -DM a e would equi e an in ini e
numbe o obse a ions pe day causing echnical p oblems. The e o e, in
his s udy he in aday de elopmen is app oxima ed by h ee obse a ions
pe day:
1. he opening a e (p imo) a 8.30 hou s;
2. he ixing a e (o icial middle a e) a 13.00 hou s;
3. he closing a e (ul imo) a 16.30 hou s in F ank u ime.
Because he opening and closing a es a e only a ailable since Feb ua y
19858, as sample is chosen he pe iod om Feb ua y 1985 un il Sep embe
1988. Figu e 2 gi es an example o he in aday changes o he opening and
closing dolla -DM a e om July 1987 o June 1988. This igu e shows
obse able di e ences be ween he a es wi hin he day.
Fu he mo e, he s udy akes daily obse a ions o he o icial in e en-
ions in he dolla -DM exchange ma ke , which can be di ided in wo pa s9:
a) U.S. dolla -in e en ions o he Deu sche Bundesbank exp essed in DMs
agains he dolla -DM in e en ion a e o ha day;
b) DM-in e en ions o he Fede al Rese e Bank o New Yo k, so a as
hese ope a ions a ec he ne o eign posi ion o he Bundesbank. This
happens e.g. when he Fede al Rese e inances i s DM-sales by calling
on he swap ag eemen wi h he Bundesbank o om i s DM-balances a
he Bundesbank, o when he Fede al Rese e in es s i s DM-pu chases
a he Bundesbank.
8 Da a o he opening, ixing and closing dolla -DM a e a e aken om: S a i-
s ische Beihe e zu den Mona sbe ich en de Deu schen Bundesbank, Reihe 5: Die
Wäh ungen de Wel , Feb ua 1985 - No embe 1988, Tabelle 6: Kassa-Ku se des US
dolla im Tages e lau .
9 Da a o he o icial in e en ions o he Bundesbank and Fede al Rese e we e
kindly p o ided by he Deu sche Bundesbank, Haup ab eilung Ausland on a con i-
den ial base. The e o e, his s udy comp ises no exac da a, no any igu es o hese
in e en ions.
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64 S. C. W. Eij inge and A. P. D. G uij e s
(a0 + b0) in he co esponding mon hs. The smoo hing coe icien (ci) has
always he expec ed, nega i e sign and is usually signi ican , in pa icula
o he se en days mo ing a e ages. Also, his coe icien app oxima es he
sum o bo h smoo hing coe icien s o he indi idual in e en ions (ai + bi)
in he mon hs conce ned. The adjus ed co ela ion coe icien exceeds o
he i e and se en days mo ing a e ages gene ally 0.20 and in some cases
e en 0.35. Consequen ly, he equa ions explain on a e age one i h o he
o al in e en ions and equal he explana o y powe o he equa ions o he
Bundesbank in e en ions (see able 1).
The Du bin-Wa son s a is ic lies mos ly - excep o Decembe 1987, Jan-
ua y and Augus 1988 - abo e 1.4 (uppe limi ) and indica es no i s -o de
au oco ela ion in gene al. In Augus 1988 he esiduals a e somewha posi-
i ely co ela ed, while his was no he case o he eg essions o he indi-
idual in e en ions.
In gene al, he eg essions wi h he di e ence be ween he opening a e
and i e days mo ing a e age (n = 5) p o ed o be mos success ul - in he
sense o a s a is ical i - o he indi idual and o al in e en ions. The e-
o e, hese equa ions a e aken as a poin o depa u e o addi ional a i-
ables o ac o s. Fi s o all, he in e en ions o one cen al bank a e added
as an ex a explana o y a iable o he equa ion o he in e en ions o he
o he cen al bank, mu a is mu andis. So, he Bundesbank and Fede al
Rese e in e en ions a e explained by a cons an , he de ia ion be ween
he opening a e and i e days mo ing a e age and he Fede al Rese e
espec i ely Bundesbank in e en ions:
The coo dina ion coe icien (a2 o b2) e lec s he deg ee o coo dina ion
be ween he in e en ion in he dolla -DM exchange ma ke . Bo h cen al
banks y o une hei in e en ions o each o he in o de o s eng hen he
e ec i eness o bo h in e en ions. The announcemen e ec o coo dina ed
in e en ion may be g ea e han he e ec o non-coo dina ed in e en ion.
I signi ican , he coo dina ion coe icien ep esen s o wha ex en he
2. Coo dina ion o Exchange Ma ke In e en ions
by Bo h Cen al Banks
(2a)
(2b) n = 5
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On he Sho Te m Objec i es o Daily In e en ion 65
Bundesbank and Fede al Rese e in e en ions a e co ela ed15. The coe i-
cien is expec ed o ha e a posi i e sign and will no exceed 1 in case o
equal, simul aneous in e en ions by bo h cen al banks.
Table 4 gi es he ou comes o he eg essions o he dolla -DM exchange
ma ke in e en ions by he Bundesbank espec i ely Fede al Rese e wi h
each o he in e en ions as an addi ional explana o y a iable16.
The cons an (a0 and b0) becomes e en less signi ican o bo h in e en-
ions (see ables 1 and 2). The smoo hing coe icien (a1 and bi) looses also
signi icance, some imes conside ably, and diminishes, bu keeps mos ly he
expec ed, nega i e sign. Ob iously, explana o y powe is pulled away om
he smoo hing a iable.
The coo dina ion coe icien (a2 and b2) has always he expec ed, posi i e
sign and is gene ally signi ican (exac ly he same - alue). This coe icien
a ies, when signi ican , om 0.2 o 1.6 o bo h in e en ions and usually
does no exceed 1, excep o Augus and Oc obe 1987 due o unequal in e -
en ions by bo h cen al banks. The adjus ed co ela ions coe icien lies in
mos cases abo e 0.25. On a e age he equa ions "explain" (see oo no e 15)
one hi d o he Bundesbank and Fede al Rese e in e en ions. The Du -
bin-Wa son s a is ic is mos ly wi hin he ange o 1.5 o 2.5 (uppe limi s)
and poin s o no i s -o de au oco ela ion in gene al. Only in June 1988 he
esiduals a e clea ly posi i ely co ela ed o he Fede al Rese e in e en-
ions. In wo cases he s a is ic is indecisi e.
3. E ec o Exchange Ma ke Unce ain y
on Exchange Ma ke In e en ions
Fu he mo e, he equa ion wi h he di e ence be ween he opening a e
and i e days mo ing a e age as explana o y a iable o he exchange ma -
ke in e en ions can be ex ended wi h an addi ional ac o ep esen ing he
unce ain y a he Dolla -DM exchange ma ke . The deg ee o exchange
ma ke unce ain y is app oxima ed by he a iance o he opening, ixing
and closing dolla a es in he pas i e days (o wi h n = 5). So, he Bundes-
15 Howe e , he causal ela ion be ween bo h in e en ions is no e iden in p ac-
ice. I is no clea which cen al bank leads and which cen al bank ollows wi h
in e en ion as a consequence o he daily conce a ion p ocedu e be ween bo h
banks.
16 No eg essions a e made o he o al in e en ions o bo h cen al banks,
because he cons an and coe icien s p o ed o be - by app oxima ion - he sum o
he cons an and coe icien s o he co esponding eg essions o he Bundesbank
and Fede al Rese e (see ables 1, 2 and 3).
5 K edi und Kapi al 1/1991
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66 S. C. W. Eij inge and A. P. D. G uij e s
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On he Sho Te m Objec i es o Daily In e en ion 67
bank, Fede al Rese e and o al in e en ions a e explained by a cons an ,
he i e days mo ing a iance and he de ia ion be ween he opening a e
and i e days mo ing a e age:
(+/-) / (-)
(3a) INVD BB = a0 +
•
oj ( - —
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2 S LF/nL
3
n n
(3b) INVF ED = b0 + b,
•
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3
n n
wi h: o; = 2 is?'™ - —. 2 s?'™)2
W V
3
n n J
A highe deg ee o exchange ma ke unce ain y (aj) is supposed o p o oke
ela i ely a g ea e olume o in e en ion by he Bundesbank, Fede al
Rese e o bo h, ei he posi i e o nega i e. Gi en hei sho e m ob-
jec i es, he cen al banks hen ha e a g ea e incen i e o eac on a
di e gence be ween he ac ual and desi ed exchange a e. The smoo hing
coe icien adjus ed o unce ain y (ai, bi o Ci) e lec s also a policy o
leaning agains he wind' o he cen al bank conce ned and is expec ed o
ha e a nega i e sign as a consequence o he posi i e mo ing a iance. This
implies ha he Bundesbank and/o he Fede al Rese e y o smoo h he
ola ili y o he dolla -DM a e depending on he deg ee o exchange ma ke
unce ain y.
Table 5 shows he esul s o he eg essions o he dolla -DM in e en-
ions by he Bundesbank, Fede al Rese e espec i ely bo h cen al banks
wi h he i e days mo ing a iance o he opening, ixing and closing dolla
a e as an addi ional ac o o he di e ence be ween he opening dolla a e
and a i e days mo ing a e age.
The cons an (a0, b0 and c0) s ays ela i ely small and some imes signi ican
o indi idual and o al in e en ions (see ables 1, 2 and 3). The smoo h-
ing coe icien adjus ed o unce ain y (au bx and Ci) keeps almos always
he expec ed, nega i e sign17 and s ays o e all mos ly signi ican . The coe i-
cien becomes conside ably highe because o he mo ing a iance and gains
17 E iden ly, he Bundesbank pu sued a policy o 'leaning wi h he wind' in Sep-
embe 1985. The equa ion explains hen nea ly 90% o he in e en ions. A close
inspec ion o he da a e eals ha he Bundesbank in e en ions we e guided by o he
objec i es han smoo hing -
i. e.
he de elopmen o " undamen als" - as om
22
Sep-
embe 1985, when he Plaza Ag eemen was cons i u ed by he G-5.
5
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68 S. C. W. Eij inge and A. P. D. G uij e s
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On he Sho Te m Objec i es o Daily In e en ion 69
signi icance in mon hs wi h a high le el o exchange ma ke unce ain y,
such as Oc obe and Decembe 1987 and June 1988 (see igu e 2).
The adjus ed co ela ion coe icien ises in hese mon hs wi h much
unce ain y subs an ially, bu diminishes in mon hs wi h li le unce ain y
(e.g. Augus 1987). Hence, he equa ions explain on a e age one i h o he
Bundesbank, Fede al Rese e and o al in e en ions, which implies ha
he explana o y powe o he Fede al Rese e in e en ions has doubled on
a e age (see able 2). The Du bin-Wa son s a is ic exceeds in mos cases 1.4
(uppe limi ) and indica es no i s -o de au oco ela ion in gene al. In his
espec he ou comes o he eg essions wi h he mo ing a iance do no di -
e much om hose wi hou he mo ing a iance.
IV. Conclusion
In he p e ious sec ion an empi ical s udy has been made o he eac ion
unc ions o he dolla -DM exchange ma ke in e en ions by he Bundes-
bank and/o Fede al Rese e in hi een ele an mon hs du ing he pe iod
om Feb ua y 1985 ill Sep embe 1988. The mos impo an conclusions o
his empi ical s udy a e he ollowing.
Fi s ly, he some imes signi ican , bu ela i ely small cons an indica es
a limi ed bias o he cen al banks owa ds a dolla app ecia ion o dep e-
cia ion is-à- is he DM based on he de elopmen o he ' undamen als'.
Secondly, he mos ly signi ican , nega i e and ela i ely ( e y) high smoo h-
ing coe icien poin s o a policy o leaning agains he wind' by bo h cen al
banks in o de o smoo h he dolla -DM a e om day o day.
Thi dly, he gene ally signi ican , posi i e and a iable coo dina ion coe -
icien s shows a a he di e gen deg ee o coo dina ion be ween he Bun-
desbank and Fede al Rese e on op o a highe equency o Bundesbank
in e en ion.
Fou hly, he smoo hing coe icien adjus ed o exchange ma ke unce -
ain y becomes mo e signi ican in mon hs wi h much unce ain y and leads
in hese mon hs o a highe adjus ed co ela ion coe icien . I appea s ha
bo h cen al banks ake ull accoun o exchange ma ke unce ain y wi h
espec o hei in e en ion policy18.
18 This con adic s he empi ical inding o Neumann (1984) ha he Bundesbank
in e ened - ac ing like a p i a e in es o - o a ela i ely smalle scale in he dolla -
DM ma ke wi h ising exchange a e unce ain y. Neumann (1984) es ima ed eac-
ion unc ions o he exchange ma ke in e en ions by he Bundesbank on a mon hly
base o e he pe iod Ma ch 1974 - Decembe 1981.
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70 S. C. W. Eij inge and A. P. D. G uij e s
Finally, he equa ions explain on a e age one i h and in case o a coo di-
na ion a iable one hi d o he exchange ma ke in e en ions by he Bun-
desbank and/o Fede al Rese e. I should be no iced ha he equa ions
wi hou a mo ing a iance o opening, ixing and closing a es a e ela i ely
mo e success ul in mon hs wi h li le exchange ma ke unce ain y, while
he equa ions wi h he mo ing a iance ha e mo e explana o y powe in
mon hs wi h much unce ain y. In he la e case he equa ions my explain
40% o mo e o he exchange ma ke in e en ions in mon hs wi h a high
ola ili y o he dolla -DM exchange a e, e.g. Oc obe and Decembe 1987.
These gene al conclusions seem a sound base o u u e esea ch o he sho
e m eac ion unc ions o he Deu sche Bundesbank and Fede al Rese e
Sys em in he dolla -DM exchange ma ke .
Re e ences
A us, J. R.: Exchange Ra e S abili y and Managed Floa ing: The Expe ience o he
Fede al Republic o Ge many, IMF S a Pape s, July 1976, Vol. 23, pp. 312 - 333. -
B anson, W. H., H. Hal unen & P. Masson: Exchange Ra es in he Sho Run, The
Dolla -Deu sche-Ma k Ra e, Eu opean Economic Re iew, Decembe 1977, Vol. 10,
pp. 303 - 324. - Do nbusch, R.: Exchange Ra e Economics: Whe e Do We S and?,
B ookings Pape s on Economic Ac i i y, 1980, Vol. 1, pp. 143 - 185. - Eij inge , S. C.
W.: O e de Behee sbaa heid an de Geldhoe eelheid (On he Con ollabili y o he
Money Supply), F ee Uni e si y P ess, Ams e dam, 1986. - Eij inge , S. C. W. & A. P.
D. G uy e s: On he E ec i eness o Daily In e en ion by he Deu sche Bundesbank
and he Fede al Rese e Sys em in he U.S. dolla -Deu sche Ma k Exchange Ma ke ,
in: Bal enspe ge , E. & H. W. Sinn (eds.): Exchange Ra es Regimes and Cu ency
Union, P oceedings o he Con ede a ion o Eu opean Economic Associa ions 1990,
McMillan Publishe s, London, 1991. - Funabashi, Y.: Managing he Dolla : F om he
Plaza o he Lou e, Ins i u e o In e na ional Economics, Washing on D.C., 1988. -
Gleske, L.: Die De isenpoli ik de Deu schen Bundesbank: In e en ionen am DM-$-
Ma ke und im Eu opäischen Wäh ungssys em sowie geldma k o ien ie e De isen-
ansak ionen, K edi und Kapi al, 1982, Vol. 15, pp. 259 - 274. - König, H. & W.
Gaab: Smoo hing Exchange Ra es by Cen al Bank In e en ions?, Economic No es,
Mon e dei Paschi di Siena, 1982, pp. 177 - 198. - Lehmen , H.: De isenma k in e en-
ionen bei lexiblen Wechselku sen. J. C. B. Moh , Tübingen 1980. - Neumann, M. J.
M.: In e en ion in he Ma k/Dolla Ma ke : he Au ho i ies' Reac ion Func ion,
Jou nal o In e na ional Money and Finance, 1984, Vol. 3, pp. 223 - 239. - Scholl, F.:
Implica ions o Mone a y Ta ge ing o Exchange-Ra e Policy, in: P. Meek (ed.), Cen-
al Bank Views on Mone a y Ta ge ing, Fede al Rese e Bank o New Yo k, New
Yo k, 1983, pp. 118 - 125. - Wo king G oup on Exchange Ma ke In e en ion (Chai -
man: Philippe Ju gensen), Repo , Ma ch 1983.
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On he Sho Te m Objec i es o Daily In e en ion 71
Zusammen assung
Bei ag zu den ku z is igen Zielen de äglichen
Beein lussung des US-Dolla -/Deu schma kku ses sei ens de
Deu schen Bundesbank und des Fede al-Rese e-Sys em
Zweck dieses A ikels is es, eine ku z is ige Reak ions unk ion de In e en ionen
de Deu schen Bundesbank und des Fede al-Rese e-Sys em au dem De isenma k
im einzelnen da zulegen und zu e p oben. Au de G undlage des Ju gensen-Be ich s
und neue e Ve ö en lichungen wi d angenommen, daß beide Zen albanken es als
das wich igs e Ziel ih e In e en ionspoli ik e ach en, die Vola ili ä de Tages- und
Wochenku se zu glä en. Un e Zug undelegung de Tagesku se sowie on in de lau-
enden In e en ionsp axis äglich gewonnenen Da en ü den US $-/DM-Ku s im
Zei aum Feb ua 1985 bis Sep embe 1988 s ellen sich die wich igs en Schluß olge-
ungen wie olg da : E s ens, beide Zen albanken e olg en eine Poli ik des „Sich-
gegen-den-Wind-Lehnens", um ehe die Tages- als die wöchen lichen US $-/DM-
Ku sschwankungen zu glä en. Zwei ens, beide Zen albanken be ücksich igen oll
in ih e In e en ionspoli ik die Unsiche hei en de US $-/DM-Ku sbeein lussung.
Summa y
On he Sho Te m Objec i es o Daily In e en ion
by he Deu sche Bundesbank and he Fede al Rese e Sys em
in he U.S. Dolla -Deu sche Ma k Exchange Ma ke
The pu pose o his a icle is o speci y and o es a sho e m eac ion unc ion o
he o eign exchange ma ke in e en ion by he Deu sche Bundesbank and he Fed-
e al Rese e Sys em. Based on he Ju gensen- epo and mo e ecen publica ions, i
is assumed ha bo h cen al banks ha e as hei main objec i e o in e en ion pol-
icy o smoo h exchange a e ola ili y om day o day and om week o week. Using
daily in e en ion da a o he Deu sche Bundesbank and he Fede al Rese e Sys em
and in a-day da a o he U.S. Dolla -Deu sche Ma k exchange a e o he pe iod
Feb ua y 1985 - Sep embe 1988, he mos impo an conclusions a e he ollowing.
Fi s ly, bo h cen al banks conduc ed a "leaning agains he wind" policy in o de o
smoo h he U.S. Dolla -Deu sche Ma k exchange a e luc ua ions mo e om day o
day han om week o week. Secondly, bo h cen al banks ake ull accoun o he
unce ain y in he U.S. Dolla -Deu sche Ma k exchange ma ke wi h espec o hei
in e en ion policy.
Résumé
Les objec i s à cou e me de l'in e en ion quo idienne
de la Deu sche Bundesbank e du Fede al Rese e Sys em su le ma ché
des changes du dolla amé icain e du Deu sche Ma k
L'au eu de ce a icle essaie de spéci ie e de es e une onc ion de éac ion à cou
e me de l'in e en ion su le ma ché des changes de la Deu sche Bundesbank e du
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72 S. C. W. Eij inge and A. P. D. G uij e s
Fede al Rese e Sys eme. En se basan su le appo de Ju gensen e su des publica-
ions plus écen es, on p ésume que les deux banques cen ales pou sui en p incipa-
lemen a ec leu poli ique d'in e en ion l'objec i de édui e la ola ili é des aux de
change au jou le jou e de semaine en semaine. En u ilisan des données d'in e en-
ion quo idiennes de la Deu sche Bundesbank e du Fede al Rese e Sys em, ainsi que
des données in e na ionales quo idiennes des aux de change du dolla amé icain e
du DM pou la pé iode, s'é endan de é ie 1985 à sep emb e 1988, l'au eu i e les
conclusions p incipales sui an es: (1) les deux banques cen ales mènen une poli i-
que «con e le en », en ue de diminue les luc ua ions des cou s de change du dol-
la amé icain e du DM, da an age au ou jou le jou que de semaine en semaine. (2)
Les deux banques cen ales iennen en iè emen comp e de l'ince i ude su le ma -
ché des changes du dolla amé icain e du DM en ce qui conce ne leu poli ique d'in-
e en ion.
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