On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007
Biswajit Banerjee (),
Ludovit Odor () and
William O. Riiska
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Biswajit Banerjee: Ministry of Finance of the Slovak Republic
Juraj Zeman: National Bank of Slovakia
William O. Riiska: Hutchin Hill Capital
Comparative Economic Studies, 2018, vol. 60, issue 3, No 6, 442-474
Abstract Based on intraday high-frequency data, this paper investigates the effect of sterilized interventions on the Slovak koruna/euro exchange rate for different time windows during a period that coincides with Slovakia’s preparation for EU accession and euro adoption. Results confirm a significant relationship between intervention and exchange rate change. The maximum effect of intervention is reflected in the exchange rate change within a couple of hours, and the effect over longer time windows weakens only gradually. The initial impact of sale interventions is stronger than that of purchase interventions.
Keywords: Foreign exchange market intervention; Koruna/euro exchange rate; Monetary policy framework; ERM II participation; Slovakia; E44; E58; F31; G15 (search for similar items in EconPapers)
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