Blake LeBaron () (University of Wisconsin - Madison)
Abstract
There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of either high or low central bank activity. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
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 University of Wisconsin - Madison in its series Working papers with number
_002.
Length: Date of creation: Date of revision: Handle: RePEc:wop:wimahp:_002
Contact details of provider: Postal: Social Science Building, 1180 Observatory Drive, Madison, WI 53706-1393 Phone: 608/263-2989 Fax: 608/262-2033 Email: Web page: http://www.econ.wisc.edu/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).