Swedish intervention and the Krona float, 1993–2002
AbstractUsing a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater--and usually substantially smaller--than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 0514.
Date of creation: 2005
Date of revision:
Other versions of this item:
- Humpage, Owen F. & Ragnartz, Javiera, 2006. "Swedish Intervention and the Krona Float, 1993-2002," Working Paper Series 192, Sveriges Riksbank (Central Bank of Sweden).
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-01 (All new papers)
- NEP-FMK-2006-01-01 (Financial Markets)
- NEP-IFN-2006-01-01 (International Finance)
- NEP-MON-2006-01-01 (Monetary Economics)
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