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Excess Returns and Official Intervention: Canada 1952-1960

Author

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  • Davutyan, Nurhan
  • Pippenger, John

Abstract

Research shows that filter rules in foreign exchange markets yield higher than normal profits. Other work indicates that central banks lean against the wind in those markets and some claim that this intervention generates profits for private speculators. This study, which uses daily data for exchange rates and official reserves, indicates that excess profits from filter rules between the U.S. and Canadian dollar during the 1950s are the result of intervention by the Bank of Canada. Copyright 1989 by Oxford University Press.

Suggested Citation

  • Davutyan, Nurhan & Pippenger, John, 1989. "Excess Returns and Official Intervention: Canada 1952-1960," Economic Inquiry, Western Economic Association International, vol. 27(3), pages 489-500, July.
    • Handle: RePEc:oup:ecinqu:v:27:y:1989:i:3:p:489-500
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    Cited by:

    1. Neely, Christopher J., 2002. "The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits," Journal of International Economics, Elsevier, vol. 58(1), pages 211-232, October.
    2. Siklos, Pierre L., 2009. "Not quite as advertised: Canada's managed float in the 1950s and Bank of Canada intervention," European Review of Economic History, Cambridge University Press, vol. 13(3), pages 413-435, December.
    3. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.

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