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The foreign-exchange costs of central bank intervention: evidence from Sweden

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  • Sjoo, Boo
  • Sweeney, Richard J.

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  • Sjoo, Boo & Sweeney, Richard J., 2001. "The foreign-exchange costs of central bank intervention: evidence from Sweden," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 219-247, April.
  • Handle: RePEc:eee:jimfin:v:20:y:2001:i:2:p:219-247
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    References listed on IDEAS

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    1. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
    2. 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 167-181, March.
    3. 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.).
    4. 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.
    5. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    6. 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.
    7. Sweeney, R. J., 2000. "Does the Fed beat the foreign-exchange market?," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 665-694, May.
    8. Gregory Mankiw, N. & Shapiro, Matthew D., 1986. "Do we reject too often? : Small sample properties of tests of rational expectations models," Economics Letters, Elsevier, vol. 20(2), pages 139-145.
    9. 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 356-368, April.
    10. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
    11. Praetz, Peter D, 1976. "Rates of Return on Filter Tests," Journal of Finance, American Finance Association, vol. 31(1), pages 71-75, March.
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    Cited by:

    1. Montserrat Ferré & Carolina Manzano, 2009. "When do central banks prefer to intervene secretly?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 378-393.
    2. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
    3. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 249-260.
    4. Simatele, Munacinga & Sjö, Bo & Sweeny, Richard, 2016. "Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust," LiU Working Papers in Economics 2, Linköping University, Division of Economics, Department of Management and Engineering.
    5. Sjoo, Boo & Sweeney, Richard J., 2000. "Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 275-286, December.

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