On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007

Biswajit Banerjee, Juraj Zeman, Ludovit Odor and William O. Riiska
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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: 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)
Date: 2018
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Working Paper: On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999-2007 (2017)
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DOI: 10.1057/s41294-017-0039-z

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