Technical Trading Rule Profitability and Foreign Exchange Intervention

Blake Lebaron ()

International Finance from University Library of Munich, Germany

Abstract: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find to what extent foreign exchange predictability can be confined to periods of either high or low central bank activity. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.

JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 1994-11-14
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Citations: View citations in EconPapers (49)

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Related works:
Journal Article: Technical trading rule profitability and foreign exchange intervention (1999)
Working Paper: Technical Trading Rule Profitability and Foreing Exchange Intervention (1996)
Working Paper: Technical Trading Rule Profitability and Foreign Exchange Intervention (1996)
Working Paper: Technical Trading Rule Profitability and Foreign Exchange Intervention
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:9411002

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