Perceived central bank intervention and market expectations: an empirical study of the yen/dollar exchange rate, 1993 - 96
This paper uses a new data set, based on Reuters news articles, to capture intervention that is perceived by FX traders and probability density functions (PDFs) estimated from option data to describe market expectations. We find that, between September 1993 and April 1996, traders viewed the Bank of Japan as responding mainly to deviations of the exchange rate from what they considered to be some implicit target levels. On the other hand, the Federal Reserve was viewed to have mainly intervened when market conditions seemed most conducive to a successful intervention. We find that perceived intervention had no statistically significant effect on the exchange rate level and on the skewness of the PDFs. We also present evidence that, on average, perceived intervention increased traders' uncertainty about future exchange rate movements.
|Date of creation:||Oct 1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Web page: http://www.bis.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:bis:biswps:77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl)
If references are entirely missing, you can add them using this form.