Abstract: The foreign exchange intervention reaction function of central bank is an important tool to describe the relationship of intervention behavior and some market conditions,and it is significant for revealing the rules and characters of intervention behavior At present,the models of reaction function provided are not good enough to meet the need of explaining the infrequency of intervention,and acquiring high precision simultaneo usly Based on the analysis of related research,and from the view of practical significant and high precision,this paper provides a new nonlinear FTR model,and executes experiments based on the intervention dat a of Japanese central bank.Experiment al results demonstrate that,comparing with linear model and two regime TR model,the FTR model provided by this paper has smaller errors both in in sample fitting and out of sample forecasting processes,that is,it is more precise in describing the intervention behavior,and is more suitable to be the central bank's intervention reaction function.

Key words: foreign exchange intervention, reaction function, nonlinear, FTR model, exchange rate