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Technical analysis and the profitability of U.S. foreign exchange intervention

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Author Info

  • Christopher J. Neely

Abstract

This article reconciles an apparent contradiction found by recent research on U.S. intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) show that extrapolative technical trading rules trade against U.S. foreign exchange intervention and produce excess returns during intervention periods. Leahy (1995) shows that U.S. intervention itself is profitable over long periods of time. In other words, technical trades make excess returns when they take positions contrary to U.S. intervention - U.S. intervention itself is profitable, however. This article will first present recent research on these subjects. Then it will discuss how differing investment horizons and varying returns and position sizes may reconcile these facts.

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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (1998)
Issue (Month): Jul ()
Pages: 3-17

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Handle: RePEc:fip:fedlrv:y:1998:i:jul:p:3-17:n:v.80no.4

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Related research

Keywords: Foreign exchange - Law and legislation;

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This item is featured on the following reading lists or Wikipedia pages:
  1. Analisis teknis in Wikipedia (Indonesian)
  2. Technical analysis in Wikipedia (English)
  3. Phân tích kỹ thuật in Wikipedia (Vietnamese)

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