Real-time effects of central bank intervention in the euro market

被引:13
作者
Fatum, Rasmus [1 ]
Pedersen, Jesper [2 ,3 ]
机构
[1] Univ Alberta, Sch Business, Edmonton, AB T6G 2R6, Canada
[2] Univ Copenhagen, DK-1093 Copenhagen K, Denmark
[3] Danmarks Natl Bank, DK-1093 Copenhagen K, Denmark
关键词
Foreign exchange intervention; Intraday data; ERM II; FOREIGN-EXCHANGE INTERVENTION; PRICE DISCOVERY; VOLATILITY; ANNOUNCEMENTS;
D O I
10.1016/j.jinteco.2009.02.011
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper investigates the real-time effects of sterilized foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Our analysis employs a two-step weighted least squares estimation procedure. We control for macro surprises, address the issue of endogeneity, and carry out an array of robustness tests. Only when the direction of intervention is consistent with the monetary policy stance do we find that intervention exerts a significant influence on exchange rate returns. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:11 / 20
页数:10
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