The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits

• 成果类型: Article
• 署名作者: Neely, CJ
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00163-5
• 发表日期: 2002
• 页码: 211-232
• 关键词: technical analysis; trading rule; intervention; Exchange rate; Central bank

摘要

This paper characterizes the temporal pattern of trading rule returns and official intervention for Australian, German, Swiss and U.S. data to investigate whether intervention generates technical trading rule profits. The data reject the hypothesis that intervention generates inefficiencies from which technical rules profit. In particular, high frequency data show that abnormally high trading rule returns precede German, Swiss and U.S. intervention. Australian intervention precedes high trading rule returns, but trading/intervention patterns make it implausible that intervention actually generates those returns. Rather, intervention responds to exchange rate trends from which trading rules have recently profited. (C) 2002 Elsevier Science B.V. All rights reserved.