The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits

Christopher Neely

No 2000-018, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper characterizes the temporal pattern of trading rule returns and official intervention for Australian, German, Swiss and U.S. data to investigate whether intervention generates technical trading rule profits. High frequency data show that abnormally high trading rule returns precede German, Swiss and U.S. intervention, disproving the hypothesis that intervention generates inefficiencies from which technical rules profit. Australian intervention precedes high trading rule returns, but trading/intervention patterns make it implausible that intervention actually generates those returns. Rather, intervention responds to exchange rate trends from which trading rules have recently profited.

Keywords: Banks and banking, Central; Foreign exchange; Trade (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (47)

Published in Journal of International Economics, October 2002, 58(1), pp. 211-32

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Journal Article: The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits (2002)
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DOI: 10.20955/wp.2000.018

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