EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-rmg
Date: 2003-07
Note: IFM AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31) Track citations by RSS feed

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

Downloads: (external link)
http://www.nber.org/papers/w9875.pdf (application/pdf)

Related works:
Journal Article: When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006) Downloads
Working Paper: When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? (2003) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:9875

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w9875

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-11-10
Handle: RePEc:nbr:nberwo:9875