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A test for the presence of central bank intervention in the foreign exchange market with an application to the Bank of Canada

  • Douglas Hodgson

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    File URL: http://hdl.handle.net/10.1007/s00181-010-0402-7
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    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 41 (2011)
    Issue (Month): 3 (December)
    Pages: 681-701

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    Handle: RePEc:spr:empeco:v:41:y:2011:i:3:p:681-701
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    1. Longworth, David, 1980. "Canadian Intervention in the Foreign Exchange Market: A Note," The Review of Economics and Statistics, MIT Press, vol. 62(2), pages 284-87, May.
    2. Jeff M. Rogers & Pierre Siklos, 2001. "Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience," Research Paper Series 57, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Almekinders, G.J. & Eijffinger, S.C.W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Other publications TiSEM 9ca974cc-1549-4752-8dbe-0, Tilburg University, School of Economics and Management.
    4. repec:ner:tilbur:urn:nbn:nl:ui:12-152907 is not listed on IDEAS
    5. Mark P. Taylor & Lucio Sarno, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, vol. 39(3), pages 839-868, September.
    6. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
    7. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    8. Rudiger Dornbusch, 1980. "Exchange Rate Economics: Where Do We Stand?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1, Tenth ), pages 143-206.
    9. repec:ner:tilbur:urn:nbn:nl:ui:12-73527 is not listed on IDEAS
    10. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
    11. Gartner, Manfred, 1987. "Intervention Policy under Floating Exchange Rates: An Analysis of the Swiss Case," Economica, London School of Economics and Political Science, vol. 54(216), pages 439-53, November.
    12. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
    13. Weymark, Diana N., 1995. "Estimating exchange market pressure and the degree of exchange market intervention for Canada," Journal of International Economics, Elsevier, vol. 39(3-4), pages 273-295, November.
    14. Eijffinger, S.C.W., 1991. "Empirical evidence on foreign exchange market intervention : Where do we stand?," Other publications TiSEM e280156a-07fa-4c3e-aa4f-6, Tilburg University, School of Economics and Management.
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