Swedish Intervention and the Krona Float, 1993-2002

Owen Humpage and Javiera Ragnartz ()
Additional contact information
Javiera Ragnartz: Handelsbanken Asset Management, Postal: SE-106 70 Stockholm , Sweden

No 192, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: Using a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater—and usually substantially smaller—than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.

Keywords: Intervention; Foreign-exchange rates; Swedish Riksbank; Krona (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2006-04-01
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Swedish intervention and the Krona float, 1993–2002 (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0192

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