A brief empirical history of U.S. foreign-exchange intervention: 1973-1995

Michael Bordo, Owen Humpage and Anna Schwartz

No 903, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: This paper assesses U.S. foreign-exchange intervention since the inception of generalized floating. We find that intervention was by and large ineffectual. We first identify which interventions were successful according to three criteria. Then, we test whether the number of observed successes significantly exceeds the amount that would randomly occur given the near-martingale nature of daily exchange-rate changes. Finally, we investigate whether the various characteristics of an intervention - its size, frequency, or coordination - can increase the probability of success. We find that intervention did tend to moderate same-day exchange-rate movements relative to the previous day, but this effect is not robust across subperiods or currencies and it occurs infrequently. Increasing the size of an intervention increases the probability of success, but no other variable consistently makes a difference, including coordinating interventions with other central banks.

Keywords: Foreign; exchange; administration (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-his, nep-ifn and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:0903

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DOI: 10.26509/frbc-wp-200903

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