Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data

Rasmus Fatum

Journal of International Money and Finance, 2008, vol. 27, issue 3, 438-454

Abstract: This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate over the 1995-1998 period. Using an event study methodology and different criteria for effectiveness, some evidence that intervention was systematically associated with both a change in the direction and a smoothing of the exchange rate is presented. The results of the analysis, however, do not suggest that Bank of Canada intervention succeeded in reducing the volatility of the CAD/USD exchange rate. Furthermore, the paper shows that the effects of intervention are weakened when adjusting for general currency co-movements against the USD.

Date: 2008
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Working Paper: Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:27:y:2008:i:3:p:438-454

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