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Foreign currency operations: an annotated bibliography

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  • Hali J. Edison

Abstract

This paper is an annotated bibliography of recent research on foreign exchange market intervention. Most of the paper is devoted to empirical studies of the effectiveness of intervention. ; The paper describes the analytical framework within which most of this research has been conducted. Researchers have identified two principal channels through which sterilized intervention has its effects: the portfolio balance channel and the expectations or signalling channel. The great bulk of formal statistical tests of the effectiveness of sterilized intervention operating through the portfolio balance channel (influencing the relative supplies of bonds denominated in different currencies) have not found a quantitatively significant effect for sterilized intervention. In all of the much smaller number of studies of the expectations channel (influencing the expected future exchange rate), intervention has been found to have at least some statistically significant effect; most of these studies do not assess the quantitative significance of the effects that researchers found.

Suggested Citation

  • Hali J. Edison, 1990. "Foreign currency operations: an annotated bibliography," International Finance Discussion Papers 380, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgif:380
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1990/380/default.htm
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    Citations

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    Cited by:

    1. 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.
    2. Svensson, Lars E. O., 1992. "The foreign exchange risk premium in a target zone with devaluation risk," Journal of International Economics, Elsevier, vol. 33(1-2), pages 21-40, August.
    3. Charles Goodhart, 1995. "Financial Globalisation, Derivatives, Volatility and the Challenge for the Policies of Central Banks," FMG Special Papers sp74, Financial Markets Group.
    4. Mundaca, B. Gabriela, 2001. "Central bank interventions and exchange rate band regimes," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 677-700, October.
    5. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
    6. Anusha Chari, 2007. "Heterogeneous Market-Making in Foreign Exchange Markets: Evidence from Individual Bank Responses to Central Bank Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1131-1162, August.
    7. 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.
    8. Lehto, Taru, 1994. "The level of a central bank's international reserves : theory and cross-country analysis," Research Discussion Papers 15/1994, Bank of Finland.
    9. Heejoon Kang & Michele Fratianni, 1993. "International equality of stock market returns," Open Economies Review, Springer, vol. 4(4), pages 381-401, December.
    10. Richard T. Baillie & Owen F. Humpage, 1992. "Post-Louvre intervention: did target zones stabilize the dollar?," Working Paper 9203, Federal Reserve Bank of Cleveland.
    11. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Paper 9207, Federal Reserve Bank of Cleveland.

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