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The Effectiveness of the Interventions of the Swiss National Bank — An Event-Study Analysis

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Author Info
Christian Pierdzioch
Georg Stadtmann

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Abstract

We use the event-study methodology to analyze the effectiveness of the foreign exchange market interventions conducted by the Swiss National Bank (SNB) during the period from 1986 through 1995. We find some evidence that the interventions of the SNB had an impact on exchange rate dynamics. The significance of this e®ect, however, depends on the direction of intervention. In general, the evidence suggests that the interventions of the SNB to strengthen the Swiss franc were more e®ective than its interventions to weaken the Swiss franc. We also find that the results of the tests for the e®ectiveness of the interventions of the SNB depend upon the length of the pre- and post-event window analyzed.

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File URL: http://www.ifw-members.ifw-kiel.de/publications/the-effectiveness-of-the-interventions-of-the-swiss-national-bank-an-event-study-analysis/kap1160.pdf
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Publisher Info
Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1160.

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Length: 20 pages
Date of creation: Apr 2003
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Handle: RePEc:kie:kieliw:1160

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Related research
Keywords: Foreign exchange market Central bank intervention Swiss National Bank

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Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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  1. Rasmus Fatum & Michael M. Hutchison, . "ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention," EPRU Working Paper Series 02-10, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
  2. Lucio Sarno & Mark P. Taylor, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, vol. 39(3), pages 839-868, September. [Downloadable!] (restricted)
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  3. Graciela L. Kaminsky & Karen K. Lewis, 1996. "Does foreign exchange intervention signal future monetary policy?," Working Papers 96-7, Federal Reserve Bank of Philadelphia.
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  4. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March. [Downloadable!] (restricted)
  5. Christopher J. Neely, 2000. "The practice of central bank intervention: looking under the hood," Working Papers 2000-028, Federal Reserve Bank of St. Louis. [Downloadable!]
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  6. Fischer, Andreas M & Zurlinden, Mathias, 1999. "Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices," Economic Journal, Royal Economic Society, vol. 109(458), pages 662-76, October. [Downloadable!] (restricted)
  7. Payne, Richard & Vitale, Paolo, 2003. "A transaction level study of the effects of central bank intervention on exchange rates," Journal of International Economics, Elsevier, vol. 61(2), pages 331-352, December. [Downloadable!] (restricted)
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  8. Beine, Michel & Benassy-Quere, Agnes & Lecourt, Christelle, 2002. "Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," Journal of International Money and Finance, Elsevier, vol. 21(1), pages 115-144, February. [Downloadable!] (restricted)
  9. Rasmus Fatum & Michael M. Hutchison, . "Is Sterilized Foreign Exchange Intervention Effective After All? An Event Study Approach," EPRU Working Paper Series 99-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
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