Technical trading rule profitability and foreign exchange intervention

• 成果类型: Article
• 署名作者: LeBaron, B
• 署名单位: Brandeis University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00061-0
• 发表日期: 1999
• 页码: 125-143
• 关键词: Federal reserve; trading strategy; bootstrap

摘要

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 out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced. (C) 1999 Elsevier Science B.V. All rights reserved.