Assessing the impact of central bank intervention.. Journal of Al Azhar University-Gaza, Humanities, 2006, Vol. 8,(1) P19 – 26 Assessing the impact of central bank intervention on exchange rate: New evidence from intervention modeling Abdalla M. El-Habil Faculty of Economics & Admin. Sciences, Al-Azhar University-Gaza Abstract: Recently, only econometric models like GARCH and EGARCH investigated the instant effects of central banks interventions. Humpage (2000) investigates the intervention policy of the Federal Reserve Bank of the USA in the period 23 September-31 December, 1985 by using a non- parametric test suggested by Merton (Journal of Business, 1981). In this paper, I rely on a new strategy implied by the intervention modeling that outperforms the used non-parametric test one. This methodology is considered a very important tool; it leads to evaluating the instant and dynamic effects in long term and for avoiding future economic shocks. As far as my knowledge, this is the first study investigating the effects of foreign exchange market interventions on the exchange rate by using the intervention modeling. Keywords: Central bank intervention, dynamic effects, time series outliers, intervention modeling. ﻤﻠﺨﺹ: ﺍﻟـﺼﺭﻑ ﺴﻌﺭ ﻓﻲ ﺍﻟﻤﺭﻜﺯﻴﺔ ﺍﻟﺒﻨﻭﻙ ﻟﺘﺩﺨل ﺍﻟﻠﺤﻅﻴﺔ ﺍﻟﺘﺄﺜﻴﺭﺍﺕ ﻓﺤﺹ ﺍﻟﺤﺩﻴﺜﺔ، ﺍﻷﺒﺤﺎﺙ ﻓﻲ ﺘﻡ ﺍ ﻟﻼﻨﺤـﺩﺍﺭ ﺍﻟﻤـﺸﺭﻭﻁ ﺍﻟﺘﺒـﺎﻴﻥ ﻻﺨـﺘﻼﻑ ﺍﻟﻌﺎﻡ ﻜﺎﻟﻨﻤﻭﺫﺝ ﺍﻟﻘﻴﺎﺴﻲ ﺍﻻﻗﺘﺼﺎﺩ ﻓﻲ ﻨﻤﺎﺫﺝ ﺒﻭﺍﺴﻁﺔ ﻟـﺫﺍﺘﻲ (GARCH) ﺍﻟﻤﻁﻭﺭ ﻭﺍﻟﻨﻤﻭﺫﺝ(EGARCH) . ﻓﺤﺹ ﻟﻘﺩHumpage ﺍﻟـﺼﺭﻑ ﺴـﻌﺭ ﻓﻲ ﺍﻷﻤﺭﻴﻜﻲ ﺍﻟﻤﺭﻜﺯﻱ ﺍﻟﺒﻨﻙ ﺘﺩﺨل ﻟﺴﻴﺎﺴﺔ ﺍﻟﻠﺤﻅﻴﺔ ﺍﻟﺘﺄﺜﻴﺭﺍﺕ ﺍﻟﻔﺘﺭﺓ ﻓﻲ ﻟﻠﺩﻭﻻﺭ9 - 31/10/1985 ﻻ ﺍﺨﺘﺒﺎﺭ ﺃﺴﻠﻭﺏ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﻌﻠﻤ ﻲ ﺍﻗﺘﺭﺤﻪMerton ﻋﺎﻡ1981 . ﻜل ﻭﺘﺤﻠﻴل ﻓﺤﺹ ﺘﻡ ﺍﻟﺒﺤﺙ ﻫﺫﺍ ﺨﻼل ﻤﻥ ﻭﻟﻜﻥ ﺍﻟﺒﻨـﻙ ﺘـﺩﺨل ﻟﺴﻴﺎﺴﺔ ﻭﺍﻟﺩﻴﻨﺎﻤﻴﻜﻴﺔ ﺍﻟﻠﺤﻅﻴﺔ ﺍﻟﺘﺄﺜﻴﺭﺍﺕ ﻤﻥ ﺍﻟﺘﺩﺨل ﺩﺍﻟﺔ ﻨﻤﻭﺫﺝ ﺒﻭﺍﺴﻁﺔ ﺴﻭﺍﺀ ﺤﺩ ﻋﻠﻰ ﺍﻷﻤﺭﻴﻜﻲ ﺍﻟﻤﺭﻜﺯﻱintervention modeling ﺘـﻡ ﻭﻟﻘـﺩ ﺃﻥ ﺤﻴﺙ ﺍﻟﻤﺠﺎل، ﻫﺫﺍ ﻓﻲ ﺍﻟﻤﺴﺘﺨﺩﻤﺔ ﺍﻟﻘﻴﺎﺴﻲ ﺍﻻﻗﺘﺼﺎﺩ ﻨﻤﺎﺫﺝ ﻤﻥ ﺃﻓﻀل ﻜﺎﻥ ﺍﻟﺠﺩﻴﺩ ﺍﻷﺴﻠﻭﺏ ﻫﺫﺍ ﺃﻥ ﺇﺜﺒﺎﺕ ﺍﻟﻤﻨﻬﺠﻴﺔ ﺘﻠﻙ ﺍﺴﺘﺨﺩﺍﻡ ﺍﻟﺠﺩﻴﺩﺓ) ﺍﻟﻤﻌﻠﻤﻴﺔ ﺍﻟﻁﺭﻴﻘﺔ( ﺍﻟﻁﻭﻴل ﺍﻟﻤﺩﻯ ﻋﻠﻰ ﺍﻟﺘﺄﺜﻴﺭﺍﺕ ﺘﻘﻴﻴﻡ ﻓﻲ ﻫﺎﻤﺔ ﺃﺩﺍﺓ ﻴﻌﺘﺒﺭ ﺍﻟﻤﺴﺘﻘﺒل ﻓﻲ ﺘﺤﺩﺙ ﻗﺩ ﺍﻟﺘﻲ ﺍﻻﻗﺘﺼﺎﺩﻴﺔ ﺍﻟﻬﺯﺍﺕ ﺘﺠﻨﺏ ﻋﻠﻰ ﻴﺴﺎﻋﺩ ﻤﻤﺎ. ﻫـﺫﻩ ﺘﻌﺘﺒـﺭ ﻋﻠﻤﻨـﺎ، ﺤﺴﺏ ﻭ ﺴـﻭ ﻋﻠـﻰ ﺍﻟﻤﺭﻜﺯﻴﺔ ﺍﻟﺒﻨﻭﻙ ﺘﺩﺨل ﺘﺄﺜﻴﺭ ﻭﺘﺤﻠﻴل ﻓﺤﺹ ﻗﻀﻴﺔ ﺘﻌﺎﻟﺞ ﺍﻟﺘﻲ ﻨﻭﻋﻬﺎ ﻤﻥ ﺍﻷﻭﻟﻰ ﻫﻲ ﺍﻟﺩﺭﺍﺴﺔ ﻕ ﺍﻟﺘﺩﺨل ﺩﺍﻟﺔ ﻨﻤﻭﺫﺝ ﺍﺴﺘﺨﺩﺍﻡ ﺒﻭﺍﺴﻁﺔ ﺍﻷﺠﻨﺒﻲ ﺍﻟﺼﺭﻑ ﺴﻌﺭ.