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Intervention and the risk premium in foreign exchange rates

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Author Info
William P. Osterberg
Abstract

An analysis of how central-bank exchange-market intervention can affect both the level of exchange rates and the risk premium in asset returns, showing how the risk premium is related to the conditional variances of intervention and other exogenous processes.

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File URL: http://www.clevelandfed.org/research/Workpaper/1989/wp8908.pdf
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Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 8908.

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Date of creation: 1989
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Handle: RePEc:fip:fedcwp:8908

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Keywords: Foreign exchange - Law and legislation Risk Foreign exchange rates

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  1. Owen F. Humpage, 1991. "Central-bank intervention: recent literature, continuing controversy," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 12-26. [Downloadable!]
  2. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland. [Downloadable!]
  3. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Paper 9109, Federal Reserve Bank of Cleveland. [Downloadable!]
  4. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Paper 9207, Federal Reserve Bank of Cleveland. [Downloadable!]
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