The Impact of Financial Crisis on Asymmetric Foreign Exchange Market Intervention in Emerging Asia

摘要

Using asymmetric loss function, this paper estimates asymmetric preference of central bank foreign exchange market intervention in seven emerging Asian economies before and after the 1997-1998 Asian financial crisis and 2008 global financial crisis to reveal the impact of financial crisis on asymmetric foreign exchange market intervention in emerging Asian economies. The estimation results indicate that the 1997-1998 Asian financial crisis makes all sample countries conduct significant asymmetric foreign exchange market intervention against domestic currencies depreciation, while the 2008 global financial crisis makes most emerging Asian economies increase the degree of asymmetric foreign exchange market intervention against domestic currencies appreciation. Besides, during crisis period, more emerging Asian economies tend to conduct stronger asymmetric intervention against nominal exchange rate. While, during non-crisis period, most emerging Asian economies tend to conduct stronger asymmetric intervention against nominal effective exchange rate to maintain their export competiveness.