【毕业设计外文翻译用----金融市场微观结构外文文献】evans-lyons00price.pdf

The Price Impact of Currency Trades:
Implications for Intervention


Martin D. D. Evans* 

Richard K. Lyons



This draft: 30th June 2000






Abstract

Central-bank intervention always introduces asymmetric information. There are
no plausible, common-knowledge alternatives, regardless of intervention type
( announced vs. unannounced), and regardless of efficacy channel (., port-
folio vs information). This paper recasts intervention analysis into a framework
of asymmetric information. This allows us to address long-standing questions in
a new way. We offer four main results. First, we find evidence of imperfect sub-
stitutability, a necessary condition for the efficacy of the portfolio channel. Sec-
ond, we find evidence of an operative signaling channel. Third, we establish a
lower bound on the unconditional price impact of sterilized trades: 5 basis points
per $100 million. Fourth, we provide an explicit answer to an important unan-
swered question: “When should Central Banks intervene?”


Correspondence
Richard K. Lyons
Haas School of Business, UC Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059, Fax: 510-643-1420
******@
/~lyons

*  Respective affiliations are etown University and NBER, and UC Berkeley and NBER. We
thank the following for ments: Rich Clarida. Lyons thanks the National Science
Foundation for financial assistance.
The Price Impact of Currency Trades:
Implications for Intervention


Central Bank intervention in the Foreign Exchange market always introduces
asymmetric information. There are no plausible, common-knowledge alternatives, regard-
less of intervention type (. announced vs. unannounced), and regardless of efficacy
channel (., portfolio vs. information). This paper recasts intervention analysis into a
framework of asymmetric information. In doing so, we bring new perspective to two long-
sta