Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention
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- Li, He & Zhang, Zhichao & Zhang, Chuanjie, 2017. "China’s intervention in the central parity rate: A Bayesian Tobit analysis," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 612-624.
More about this item
KeywordsExchange rates; High frequency data; Intervention; Markov-switching model; Microstructure;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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