Price Clustering in the FX Market: A Disaggregate Analysis using Central Bank Interventions
AbstractPrice clustering is a well-documented regularity of foreign exchange transactions. In this paper, I present new empirical evidence of price clustering for central bank interventions. A feature of the price clustering in Swiss National Bank (SNB) transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the dealer market. The empirical analysis for Swiss interventions uses a disaggregate approach to test the hypothesis whether intervention strategy matters. The most important determinants of price clustering are bank size and transaction volume. While the regression evidence for customer transactions is consistent with the effciency hypothesis, the clustering results for intervention trades are not influenced by the SNB’s intervention tactics.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Swiss National Bank, Study Center Gerzensee in its series Working Papers with number 04.04.
Length: 21 pages
Date of creation: Jun 2004
Date of revision:
Contact details of provider:
Postal: Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee
Phone: ++41 (0)31 780 31 31
Fax: ++41 (0)31 780 31 00
Web page: http://www.szgerzensee.ch/
Postal: Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee
Other versions of this item:
- Fischer, Andreas M, 2004. "Price Clustering in the FX Market: A Disaggregate Analysis Using Central Bank Intervention," CEPR Discussion Papers 4529, C.E.P.R. Discussion Papers.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-11 (All new papers)
- NEP-FIN-2004-07-11 (Finance)
- NEP-IFN-2004-07-11 (International Finance)
- NEP-MON-2004-07-11 (Monetary Economics)
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.:
- 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.
- Richard Payne & Paolo Vitale, 2002. "A transaction level study of the effects of central bank intervention on exchange rates," LSE Research Online Documents on Economics 25040, London School of Economics and Political Science, LSE Library.
- Payne, Richard & Vitale, Paolo, 2001. "A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates," CEPR Discussion Papers 3085, C.E.P.R. Discussion Papers.
- Richard Payne, 2001. "A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates," FMG Discussion Papers dp355, Financial Markets Group.
- Grossman, Sanford J, et al, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
- Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
- Christopher J. Neely, 2001.
"The practice of central bank intervention: looking under the hood,"
Federal Reserve Bank of St. Louis, issue May, pages 1-10.
- Christopher J. Neely, 2000. "The practice of central bank intervention: looking under the hood," Working Papers 2000-028, Federal Reserve Bank of St. Louis.
- Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
- Sopranzetti, Ben J. & Datar, Vinay, 2002. "Price clustering in foreign exchange spot markets," Journal of Financial Markets, Elsevier, vol. 5(4), pages 411-417, October.
- Naranjo, Andy & Nimalendran, M, 2000. "Government Intervention and Adverse Selection Costs in Foreign Exchange Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 453-77.
- Dominguez & K., 1997.
"The Market Microstructure of Central Bank Intervention,"
412, Research Seminar in International Economics, University of Michigan.
- Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
- Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
- Carol Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68.
- Goodhart, C. A. E. & Figliuoli, L., 1991. "Every minute counts in financial markets," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 23-52, March.
- repec:rus:hseeco:21608 is not listed on IDEAS
- 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.
- Priscilla Chiu, 2003. "Transparency versus constructive ambiguity in foreign exchange intervention," BIS Working Papers 144, Bank for International Settlements.
- Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Paper 0315, Federal Reserve Bank of Cleveland.
- Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
- Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
- Pasquariello, Paolo, 2010. "Central bank intervention and the intraday process of price formation in the currency markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1045-1061, October.
- Klumpp, Joni M. & Brorsen, B. Wade & Anderson, Kim B., 2005. "The Preference for Round Number Prices," 2005 Annual Meeting, February 5-9, 2005, Little Rock, Arkansas 35537, Southern Agricultural Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (library).
If references are entirely missing, you can add them using this form.