EconPapers    
Economics at your fingertips  
 

Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic

Antonio Scalia ()

Journal of International Money and Finance, 2008, vol. 27, issue 4, 529-546

Abstract: I estimate a two-equation system on the Czech koruna-euro exchange rate and order flow at hourly frequency with transactions data from the Reuters Spot Matching market in the second half of 2002, during which the Czech National Bank intervened to stem the appreciation of the koruna. I find a significant impact of order flow on the exchange rate, equal to 7.6 basis points per [euro]10 million, of which 80% persists throughout the day. The news of intervention increases the price impact of order flow by 3.9 basis points per [euro]10 million. The order flow equation yields inconclusive results.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261-5606(08)00038-7
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:27:y:2008:i:4:p:529-546

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-08-12
Handle: RePEc:eee:jimfin:v:27:y:2008:i:4:p:529-546