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More on the differences between reported and actual U.S. central bank foreign exchange intervention

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  • William P. Osterberg
  • Rebecca Wetmore Humes
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    Abstract

    An analysis of the differential impacts of reported and actual U.S. foreign exchange intervention on the mean and conditional variance of the Deutschemark-to-dollar and yen-to-dollar exchange rates. For part of the sample period, the impact of intervention on the variance of the exchange rates is shown to depend on whether the intervention was reported.

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    File URL: http://www.clevelandfed.org/Research/Workpaper/1995/wp9501.pdf
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    Bibliographic Info

    Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9501.

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    Date of creation: 1995
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    Handle: RePEc:fip:fedcwp:9501

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    Related research

    Keywords: Foreign exchange - Law and legislation;

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    1. Michael W. Klein & Eric S. Rosengren, 1991. "Foreign exchange intervention as a signal of monetary policy," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 39-50.
    2. Michael W. Klein, 1992. "The Accuracy of Reports of Foreign Exchange Intervention," NBER Working Papers 4165, National Bureau of Economic Research, Inc.
    3. Ghosh, Atish R., 1992. "Is it signalling? Exchange intervention and the dollar-Deutschemark rate," Journal of International Economics, Elsevier, vol. 32(3-4), pages 201-220, May.
    4. Juann H. Hung, 1991. "Noise trading and the effectiveness of sterilized foreign exchange intervention," Research Paper 9111, Federal Reserve Bank of New York.
    5. Humpage, Owen F. & Osterberg, William P., 1992. "Intervention and the foreign exchange risk premium: An empirical investigation of daily effects," Global Finance Journal, Elsevier, vol. 3(1), pages 23-50.
    6. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-17, July.
    7. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
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