Real-time effects of central bank intervention in the euro market

• 成果类型: Article
• 署名作者: Fatum, Rasmus; Pedersen, Jesper
• 署名单位: University of Alberta; University of Copenhagen
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.02.011
• 发表日期: 2009
• 页码: 11-20
• 关键词: foreign exchange intervention; Intraday data; ERM II

摘要

This paper investigates the real-time effects of sterilized foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Our analysis employs a two-step weighted least squares estimation procedure. We control for macro surprises, address the issue of endogeneity, and carry out an array of robustness tests. Only when the direction of intervention is consistent with the monetary policy stance do we find that intervention exerts a significant influence on exchange rate returns. (C) 2009 Elsevier B.V. All rights reserved.