Swedish intervention and the Krona float, 1993–2002

Owen F. Humpage and Javiera Ragnartz

No 514, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: Using a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater--and usually substantially smaller--than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.

Keywords: Foreign exchange administration; Krona, Swedish (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-mon
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Citations: View citations in EconPapers (1)

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Working Paper: Swedish Intervention and the Krona Float, 1993-2002 (2006)
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DOI: 10.26509/frbc-wp-200514

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