ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention
AbstractUsing a unique intervention "news" data set, this paper investigates the impact of ECB intervention and intervention-related "news" (newswire reports) on the euro exchange rate. A time-series study of "news" generated by ECB officials and market participants regarding intervention and the value of the euro as well as an event study of firm reports of ECB intervention is conducted. Both studies find significant short-run effects on the euro value, while only "negative" statements (official statements denying past intervention or ruling out future intervention) appear to have persistent effects.
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Bibliographic InfoPaper provided by Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics in its series EPRU Working Paper Series with number 02-10.
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Other versions of this item:
- Rasmus Fatum & Michael Hutchison, 2002. "ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News, and Intervention," Open Economies Review, Springer, vol. 13(4), pages 413-425, October.
- NEP-ALL-2003-05-08 (All new papers)
- NEP-EEC-2003-05-08 (European Economics)
- NEP-IFN-2003-05-08 (International Finance)
- NEP-RMG-2003-05-08 (Risk Management)
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"Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market,"
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