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 Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 192.
Length: 40 pages
Date of creation: 01 Apr 2006
Date of revision:
Intervention; Foreign-exchange rates; Swedish Riksbank; Krona;
Other versions of this item:
- Owen F. Humpage & Javiera Ragnartz, 2005. "Swedish intervention and the Krona float, 1993–2002," Working Paper 0514, Federal Reserve Bank of Cleveland.
- 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-2006-04-29 (All new papers)
- NEP-FIN-2006-04-29 (Finance)
- NEP-FMK-2006-04-29 (Financial Markets)
- NEP-MON-2006-04-29 (Monetary Economics)
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