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Real-time effects of central bank intervention in the euro market

Listed author(s):
  • Fatum, Rasmus
  • Pedersen, Jesper

This paper investigates the real-time effects of sterilized foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Our analysis employs a two-step weighted least squares estimation procedure. We control for macro surprises, address the issue of endogeneity, and carry out an array of robustness tests. Only when the direction of intervention is consistent with the monetary policy stance do we find that intervention exerts a significant influence on exchange rate returns.

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File URL: http://www.sciencedirect.com/science/article/pii/S0022-1996(09)00040-3
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Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 78 (2009)
Issue (Month): 1 (June)
Pages: 11-20

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Handle: RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505552

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