Newswire reports have become an accepted tool for empirical studies analyzing informational asymmetries in FX markets. This paper tests the accuracy of such reports for Swiss interventions in the foreign exchange market. The evidence finds that the time stamp of the reports does not always lie near the recorded time of the first intervention trade as is commonly assumed in market microstructure studies. The standard deviation of the time difference is measured in hours and not in minutes. These and other regression results question the accuracy of newswire reports for Swiss interventions.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Swiss National Bank in its series Working Papers with number
2005-2.
Length: 29 pages Date of creation: 01 Jan 2005 Date of revision: Handle: RePEc:ris:snbwpa:2005_002
Contact details of provider: Postal: B�rsenstrasse 15, P. O. Box, CH - 8022 Z�rich Phone: +41 44 631 31 11 Fax: +41 44 631 39 11 Email: Web page: http://www.snb.ch/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Enzo Rossi).
Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
Cited by: (explanations, 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.)