More on the differences between reported and actual U.S. central bank foreign exchange intervention
An analysis of the differential impacts of reported and actual U.S. foreign exchange intervention on the mean and conditional variance of the Deutschemark-to-dollar and yen-to-dollar exchange rates. For part of the sample period, the impact of intervention on the variance of the exchange rates is shown to depend on whether the intervention was reported.
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- Klein, Michael W., 1993.
"The accuracy of reports of foreign exchange intervention,"
Journal of International Money and Finance,
Elsevier, vol. 12(6), pages 644-653, December.
- Michael W. Klein, 1992. "The Accuracy of Reports of Foreign Exchange Intervention," NBER Working Papers 4165, National Bureau of Economic Research, Inc.
- Ghosh, A.R., 1990.
"Is It Signalling Exchange Intervention And The Dollar- Deutschemark Rate,"
48, Princeton, Woodrow Wilson School - Discussion Paper.
- Ghosh, Atish R., 1992. "Is it signalling? Exchange intervention and the dollar-Deutschemark rate," Journal of International Economics, Elsevier, vol. 32(3-4), pages 201-220, May.
- McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
- Owen F. Humpage & William P. Osterberg, 1990.
"Intervention and the foreign exchange risk premium: an empirical investigation of daily effects,"
9009, Federal Reserve Bank of Cleveland.
- Humpage, Owen F. & Osterberg, William P., 1992. "Intervention and the foreign exchange risk premium: An empirical investigation of daily effects," Global Finance Journal, Elsevier, vol. 3(1), pages 23-50.
- Owen F. Humpage, 1994. "Institutional aspects of U.S. intervention," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 2-19.
- Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-317, July.
- Juann H. Hung, 1991. "Noise trading and the effectiveness of sterilized foreign exchange intervention," Research Paper 9111, Federal Reserve Bank of New York.
- Michael W. Klein & Eric S. Rosengren, 1991. "Foreign exchange intervention as a signal of monetary policy," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 39-50.
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