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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gabriele Galati & Corrinne Ho, 2003.
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- Kathryn Dominguez & Jeffrey A. Frankel, 1990. "Does Foreign Exchange Intervention Work?," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 16, July.
- Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
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- Fatum, Rasmus, 2000. "On the effectiveness of sterilized foreign exchange intervention," Working Paper Series 0010, European Central Bank.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Considering QE, Mario? Buy US Bonds, Not Eurozone Bonds
by jfrankel in Jeff Frankels Weblog on 2014-03-16 14:35:37
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