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On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999-2007

Juraj Zeman, Biswajit Banerjee, 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

Abstract: 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
Date: 2017-09
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
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Citations: View citations in EconPapers (6) Track citations by RSS feed

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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) Downloads
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