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Does the Fed beat the foreign-exchange market?

  • Sweeney, R. J.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-401HG07-1/2/62e313a6945ce675054ff29a650a0edc
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 24 (2000)
    Issue (Month): 5 (May)
    Pages: 665-694

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    Handle: RePEc:eee:jbfina:v:24:y:2000:i:5:p:665-694
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Loopesko, Bonnie E., 1984. "Relationships among exchange rates, intervention, and interest rates: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 257-277, December.
    2. N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models," NBER Technical Working Papers 0051, National Bureau of Economic Research, Inc.
    3. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
    4. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    5. Taylor, Dean, 1982. "Official Intervention in the Foreign Exchange Market, or, Bet against the Central Bank," Journal of Political Economy, University of Chicago Press, vol. 90(2), pages 356-68, April.
    6. Spencer, Peter D, 1989. "How to Make the Central Bank Look Good: A Reply," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 233-35, February.
    7. Praetz, Peter D, 1976. "Rates of Return on Filter Tests," Journal of Finance, American Finance Association, vol. 31(1), pages 71-75, March.
    8. Graciela Kaminsky & Karen K. Lewis, 1993. "Does Foreign Exchange Intervention Signal Future Monetary Policy?," NBER Working Papers 4298, National Bureau of Economic Research, Inc.
    9. Hart, Oliver D. & Kreps, David M., 1986. "Price Destabilizing Speculation," Scholarly Articles 3448679, Harvard University Department of Economics.
    10. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    11. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June.
    12. Praetz, P. D., 1979. "A General Test of a Filter Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 385-394, June.
    13. Szpiro, George G., 1994. "Exchange rate speculation and chaos inducing intervention," Journal of Economic Behavior & Organization, Elsevier, vol. 24(3), pages 363-368, August.
    14. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    15. Spencer, Peter D, 1985. "Official Intervention in the Foreign Exchange Market," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 1019-24, October.
    16. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-82, March.
    17. Johnson, Harry G, 1976. "Destabilizing Speculation: A General Equilibrium Approach," Journal of Political Economy, University of Chicago Press, vol. 84(1), pages 101-08, February.
    18. Salinger, Michael, 1992. "Standard Errors in Event Studies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 39-53, March.
    19. Taylor, Dean, 1989. "How to Make the Central Bank Look Good," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 226-32, February.
    20. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
    21. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
    22. Michael P. Leahy, 1989. "The profitability of U.S. intervention," International Finance Discussion Papers 343, Board of Governors of the Federal Reserve System (U.S.).
    23. Lewis, Karen K, 1995. "Are Foreign Exchange Intervention and Monetary Policy Related, and Does It Really Matter?," The Journal of Business, University of Chicago Press, vol. 68(2), pages 185-214, April.
    24. Corrado, Charles J. & Taylor, Dean, 1986. "The cost of a central bank leaning against a random walk," Journal of International Money and Finance, Elsevier, vol. 5(3), pages 303-314, September.
    25. Sweeney, Richard J., 1997. "Do central banks lose on foreign-exchange intervention? A review article," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1667-1684, December.
    26. Dominguez, Kathryn M & Frankel, Jeffrey A, 1993. "Does Foreign-Exchange Intervention Matter? The Portfolio Effect," American Economic Review, American Economic Association, vol. 83(5), pages 1356-69, December.
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