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Intervention and the bid-ask spread in G-3 foreign exchange rates

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  • William P. Osterberg
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    Abstract

    A test of whether the anticipation of G-3 (Germany, Japan and the U.S.) central-bank intervention explains wider bid-ask spreads in the spot and forward rates of marks/dollars and yen/dollars, finding little evidence to support the view that spreads widen in anticipation of intervention.

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    File URL: http://www.clevelandfed.org/Research/Review/1992/92-q2-osterberg.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of Cleveland in its journal Economic Review.

    Volume (Year): (1992)
    Issue (Month): Q II ()
    Pages: 2-13

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    Handle: RePEc:fip:fedcer:y:1992:i:qii:p:2-13:n:v.28no.2

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    Keywords: Foreign exchange - Law and legislation ; Germany ; Japan;

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    Cited by:
    1. Su, Yuli & Yip, Yewmun & Wong, Rickie W., 2002. "The impact of government intervention on stock returns: Evidence from Hong Kong," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 277-297.
    2. Koutmos, Gregory & Martin, Anna D., 2011. "Currency bid-ask spread dynamics and the Asian crisis: Evidence across currency regimes," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 62-73, February.

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