A Study on Asymmetric Preference in Foreign Exchange Market Intervention in Emerging Asia

Using asymmetric loss function, this paper estimates asymmetric preference in central bank foreign exchange market intervention in seven emerging Asian economies between January 1999 and December 2014 and its three sub-sample periods. The estimation results indicate that all the seven countries have "fear of appreciation" asymmetric intervention preference in the entire sample period. While, in three sub-sample periods, Philippines has "fear of depreciation" asymmetric intervention preference in the first sub-sample period, but it has "fear of appreciation" asymmetric intervention preference in the later two sub-sample periods and so do all the other six countries in all sub-sample periods. Besides, the estimation results also reveal that there is big difference in degree and evolution trend of asymmetric intervention in different countries and each country has different degree of asymmetric intervention against nominal exchange rate and nominal effective exchange rate.