Excess Returns and Official Intervention: Canada 1952-1960

Nurhan Davutyan () and John Pippenger

Economic Inquiry, 1989, vol. 27, issue 3, 489-500

Abstract: Research shows that filter rules in foreign exchange markets yield higher than normal profits. Other work indicates that central banks lean against the wind in those markets and some claim that this intervention generates profits for private speculators. This study, which uses daily data for exchange rates and official reserves, indicates that excess profits from filter rules between the U.S. and Canadian dollar during the 1950s are the result of intervention by the Bank of Canada. Copyright 1989 by Oxford University Press.

Date: 1989
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