Price Clustering in the FX Market: A Disaggregate Analysis Using Central Bank Intervention

Andreas Fischer (afischer@liuc.it)

No 4529, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Price clustering is a well-documented regularity of foreign exchange transactions. In this Paper, I present new empirical evidence of price clustering for central bank interventions. A feature of the price clustering in Swiss National Bank (SNB) transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the dealer market. The empirical analysis for Swiss interventions uses a disaggregate approach to test the hypothesis whether intervention strategy matters. The most important determinants of price clustering are bank size and transaction volume. While the regression evidence for customer transactions is consistent with the efficiency hypothesis, the clustering results for intervention trades are not influenced by the SNB?s intervention tactics.

Keywords: E33; Central bank interventions; Intervention strategy; Clustering (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Date: 2004-08
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (6)

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