When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?

Kathryn Dominguez

No 9875, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper examines dollar interventions by the G3 governments since 1989, and the reasons that trader reactions to these interventions might differ over time and across central banks. Market microstructure theory provides a framework for understanding the process by which sterilized central bank interventions are observed and interpreted by traders, and how this process, in turn, might influence exchange rates. Using intra-daily and daily exchange rate and intervention data, the paper analyzes the influence of interventions on exchange rate volatility, finding evidence of both within day and daily impact effects, but little evidence that interventions increase longer-term volatility.

JEL-codes: F31 G14 (search for similar items in EconPapers)
Date: 2003-07
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-rmg
Note: IFM AP
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Citations: View citations in EconPapers (36)

Published as Journal of International Money and Finance, 25, 2006, 1051-1071.

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Related works:
Journal Article: When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006)
Working Paper: When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? (2003)
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