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Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation

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  • Sjoo, Boo
  • Sweeney, Richard J.
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 10 (2000)
    Issue (Month): 3-4 (December)
    Pages: 275-286

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    Handle: RePEc:eee:intfin:v:10:y:2000:i:3-4:p:275-286

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    Web page: http://www.elsevier.com/locate/intfin

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    1. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
    2. Logue, Dennis E. & Sweeney, Richard James & Willett, Thomas D., 1978. "Speculative behavior of foreign exchange rates during the current float," Journal of Business Research, Elsevier, vol. 6(2), pages 159-174, May.
    3. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
    4. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-82, March.
    5. Dominguez, Kathryn M & Frankel, Jeffrey A, 1993. "Does Foreign-Exchange Intervention Matter? The Portfolio Effect," American Economic Review, American Economic Association, vol. 83(5), pages 1356-69, December.
    6. Taylor, Dean, 1989. "How to Make the Central Bank Look Good," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 226-32, February.
    7. Taylor, Dean, 1982. "Official Intervention in the Foreign Exchange Market, or, Bet against the Central Bank," Journal of Political Economy, University of Chicago Press, vol. 90(2), pages 356-68, April.
    8. Sweeney, Richard J., 1997. "Do central banks lose on foreign-exchange intervention? A review article," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1667-1684, December.
    9. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-63, April.
    10. Michael P. Leahy, 1989. "The profitability of U.S. intervention," International Finance Discussion Papers 343, Board of Governors of the Federal Reserve System (U.S.).
    11. Sjoo, Boo & Sweeney, Richard J., 2001. "The foreign-exchange costs of central bank intervention: evidence from Sweden," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 219-247, April.
    12. Spencer, Peter D, 1989. "How to Make the Central Bank Look Good: A Reply," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 233-35, February.
    13. Stambaugh, Robert F., 1982. "On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis," Journal of Financial Economics, Elsevier, vol. 10(3), pages 237-268, November.
    14. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1988. "Risk aversion, uncertain information, and market efficiency," Journal of Financial Economics, Elsevier, vol. 22(2), pages 355-385, December.
    15. Spencer, Peter D, 1985. "Official Intervention in the Foreign Exchange Market," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 1019-24, October.
    16. Bruno Solnik, 1997. "The World Price of Foreign Exchange Risk: Some Synthetic Comments," European Financial Management, European Financial Management Association, vol. 3(1), pages 9-22.
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    Cited by:
    1. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2003. "Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 139(4), pages 709-729, December.
    2. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    3. Vitale, Paolo, 2006. "A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5729, C.E.P.R. Discussion Papers.

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