The market microstructure of central bank intervention

• 成果类型: Article
• 署名作者: Dominguez, KME
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00091-0
• 发表日期: 2003
• 页码: 25-45
• 关键词: central bank intervention; foreign exchange rates; market micro structure

摘要

How quickly do central bank intervention operations impact the foreign exchange market? And, do intra-daily market conditions influence the effectiveness of central bank interventions? This paper uses high-frequency intra-daily data to examine the relationship between the efficacy of intervention operations and the state of the market at the moment that the operation is made public. The results indicate that some traders typically know that the Fed is intervening at least 1 h prior to the public release of the information in newswire reports. Also, the evidence suggests that the timing of intervention operations matters-interventions that occur during heavy trading volume, that are closely timed to scheduled macro announcements, and that are coordinated with another central bank are the most likely to have large effects. (C) 2002 Elsevier Science B.V. All rights reserved.