Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutsch mark Market / Der Zusammenhang zwischen der Profitabilität einer technischen Handelsstrategie und Zentralbankinterventionen im D-Mark/US-Dollar-Markt

Frenkel Michael () and Stadtmann Georg ()
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Frenkel Michael: Department of Economics, WHU Koblenz, Burgplatz 2, D-56179 Vallendar, Germany
Stadtmann Georg: Department of Economics, WHU Koblenz, Burgplatz 2, D-56179 Vallendar, Tel.: ++49/+2 61/65 09-2 73, Fax: ++49/+2 61/65 09-2 79, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2004, vol. 224, issue 6, 653-672

Abstract: The paper examines the relationship between central bank interventions in the dollar-deutschmark market and the profitability of technical trading for the period 1979-1992. While previous work on this topic focused on the interventions of the Fed, we include data on Bundesbank interventions and show that there were several similarities. Our analysis yields the result that eliminating days of Fed and Bundesbank interventions causes a simple moving average trading rule to become unprofitable. In addition, we study the dynamics of intra-day exchange rates following and preceding interventions and provide a VAR analysis on the relationship between interventions and the change in the exchange rate. The results suggest that interventions did not cause the high profits of technical trading on intervention days frequently found in other studies.

Keywords: Technical trading rules; chartists; efficient markets; central bank intervention policy; bootstrap; Technische Handelsstrategien; Chartismus; effiziente Märkte; Zentralbankinterventionen; Bootstrapping (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:224:y:2004:i:6:p:653-672

DOI: 10.1515/jbnst-2004-0603

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