Real-time effects of central bank intervention in the euro market

Rasmus Fatum and Jesper Pedersen

Journal of International Economics, 2009, vol. 78, issue 1, pages 11-20

Abstract: This paper investigates the real-time effects of sterilized foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Our analysis employs a two-step weighted least squares estimation procedure. We control for macro surprises, address the issue of endogeneity, and carry out an array of robustness tests. Only when the direction of intervention is consistent with the monetary policy stance do we find that intervention exerts a significant influence on exchange rate returns.

Keywords: Foreign; exchange; intervention; Intraday; data; ERM; II (search for similar items in EconPapers)
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20

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