On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999-2007
Ludovit Odor () and
William O. Riiska
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William O. Riiska: Hutchin Hill Capital
No WP 4/2017, Working and Discussion Papers from Research Department, National Bank of Slovakia
Based on intra-day high-frequency data, this paper investigates the effect of sterilized interventions on the Slovak koruna/euro exchange rate for different time windows during a period that coincides with Slovakia’s preparation for EU accession and euro adoption. Results confirm a significant relationship between intervention and exchange rate change. The maximum effect of intervention is reflected in the exchange rate change within a couple of hours and the effect over longer time windows weakens only gradually. The initial impact of sales interventions is stronger than that of purchase interventions.
Keywords: Foreign exchange market intervention; koruna/euro exchange rate; monetary policy framework; ERM II participation; Slovakia (search for similar items in EconPapers)
JEL-codes: E44 E58 F31 G15 (search for similar items in EconPapers)
Pages: 29 pages
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
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Journal Article: On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007 (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1045
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