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Excess Returns and Official Intervention: Canada 1952-1960

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  • Davutyan, Nurhan
  • Pippenger, John

Abstract

Research shows that filter rules in foreign exchange markets yield higher than normal profits. Other work indicates that central banks lean against the wind in those markets and some claim that this intervention generates profits for private speculators. This study, which uses daily data for exchange rates and official reserves, indicates that excess profits from filter rules between the U.S. and Canadian dollar during the 1950s are the result of intervention by the Bank of Canada. Copyright 1989 by Oxford University Press.

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Bibliographic Info

Article provided by Western Economic Association International in its journal Economic Inquiry.

Volume (Year): 27 (1989)
Issue (Month): 3 (July)
Pages: 489-500

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Handle: RePEc:oup:ecinqu:v:27:y:1989:i:3:p:489-500

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Cited by:
  1. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, 09.

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