메뉴 건너뛰기




Volumn 49, Issue 1, 1999, Pages 125-143

Technical trading rule profitability and foreign exchange intervention

Author keywords

Bootstrap; Federal Reserve; Trading strategy

Indexed keywords

INTERNATIONAL TOURISM; PRICE DYNAMICS; TRADE POLICY;

EID: 0032703962     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(98)00061-0     Document Type: Article
Times cited : (224)

References (37)
  • 2
    • 0000120651 scopus 로고
    • Speculation, profitability, and stability
    • Baumol, W., 1957. Speculation, profitability, and stability. Review of Economics and Statistics 39, 263-271.
    • (1957) Review of Economics and Statistics , vol.39 , pp. 263-271
    • Baumol, W.1
  • 3
    • 84977718189 scopus 로고
    • Characterizing predictable components in excess returns on equity and foreign exchange markets
    • Bekaert, G., Hodrick, R.J., 1992. Characterizing predictable components in excess returns on equity and foreign exchange markets. Journal of Finance 47, 467-511.
    • (1992) Journal of Finance , vol.47 , pp. 467-511
    • Bekaert, G.1    Hodrick, R.J.2
  • 5
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 21, 307-328.
    • (1986) Journal of Econometrics , vol.21 , pp. 307-328
    • Bollerslev, T.1
  • 6
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of the theory and empirical evidence
    • Bollerslev, T., Chou, R.Y., Jayaraman, N., Kroner, K.F., 1990. ARCH modeling in finance: a review of the theory and empirical evidence. Journal of Econometrics 52 (1), 5-60.
    • (1990) Journal of Econometrics , vol.52 , Issue.1 , pp. 5-60
    • Bollerslev, T.1    Chou, R.Y.2    Jayaraman, N.3    Kroner, K.F.4
  • 9
    • 0003546995 scopus 로고
    • Does central bank intervention increase the volatility of foreign exchange rates?
    • National Bureau of Economic Research, Cambridge, MA
    • Dominguez, K.M., 1993. Does central bank intervention increase the volatility of foreign exchange rates? Technical Report 4532, National Bureau of Economic Research, Cambridge, MA.
    • (1993) Technical Report 4532
    • Dominguez, K.M.1
  • 11
    • 0002029932 scopus 로고
    • Analysis of short-run exchange rate behavior: March 1973 to November 1981
    • Bigman, D., Taya, T. (Eds.), Ballinger, Cambridge, MA
    • Dooley, M.P., Shafer, J., 1983. Analysis of short-run exchange rate behavior: March 1973 to November 1981. In: Bigman, D., Taya, T. (Eds.), Exchange Rate and Trade Instability: Causes, Consequences, and Remedies. Ballinger, Cambridge, MA.
    • (1983) Exchange Rate and Trade Instability: Causes, Consequences, and Remedies
    • Dooley, M.P.1    Shafer, J.2
  • 12
    • 0003418804 scopus 로고
    • The Effectiveness of Central-bank Intervention: A Survey of the Literature after 1982
    • Department of Economics, Princeton University, Princeton, NJ
    • Edison, H.J., 1993. The Effectiveness of Central-bank Intervention: A Survey of the Literature After 1982. Number 18 in Special Papers in International Economics, Department of Economics, Princeton University, Princeton, NJ.
    • (1993) Number 18 in Special Papers in International Economics
    • Edison, H.J.1
  • 13
    • 0030163502 scopus 로고    scopus 로고
    • The forward discount anomaly and the risk premium: A survey of recent evidence
    • Engel, C., 1996. The forward discount anomaly and the risk premium: a survey of recent evidence. Journal of Empirical Finance 3, 123-192.
    • (1996) Journal of Empirical Finance , vol.3 , pp. 123-192
    • Engel, C.1
  • 14
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R.F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 15
    • 0001674920 scopus 로고
    • Filter rules and stock market trading profits
    • Fama, E.F., Blume, M., 1966. Filter rules and stock market trading profits. Journal of Business 39, 226-241.
    • (1966) Journal of Business , vol.39 , pp. 226-241
    • Fama, E.F.1    Blume, M.2
  • 16
    • 0000131597 scopus 로고
    • Using survey data to test standard propositions regarding exchange rate expectations
    • Frankel, J.A., Froot, K.A., 1987. Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review 77 (1), 133-153.
    • (1987) American Economic Review , vol.77 , Issue.1 , pp. 133-153
    • Frankel, J.A.1    Froot, K.A.2
  • 17
    • 0002849453 scopus 로고
    • The case for flexible exchange rates
    • University of Chicago Press, Chicago, IL
    • Friedman, M., 1953. The case for flexible exchange rates. In: Essays in Positive Economics. University of Chicago Press, Chicago, IL.
    • (1953) Essays in Positive Economics
    • Friedman, M.1
  • 21
    • 38248999189 scopus 로고
    • The accuracy of reports of foreign exchange intervention
    • Klein, M.W., 1993. The accuracy of reports of foreign exchange intervention. Journal of International Money and Finance 12 (6), 644-653.
    • (1993) Journal of International Money and Finance , vol.12 , Issue.6 , pp. 644-653
    • Klein, M.W.1
  • 23
    • 0002799073 scopus 로고    scopus 로고
    • Technical trading rules and regime shifts in foreign exchange
    • Acar, F., Satchell, S. (Eds.), Butterworth-Heinemann
    • LeBaron, B., 1998. Technical trading rules and regime shifts in foreign exchange. In: Acar, F., Satchell, S. (Eds.), Advanced Trading Rules. Butterworth-Heinemann, pp. 5-40.
    • (1998) Advanced Trading Rules , pp. 5-40
    • LeBaron, B.1
  • 24
    • 0041776665 scopus 로고
    • The significance of technical trading-rule profits in the foreign exchange market: A bootstrap approach
    • Levich, R.M., Thomas, L.R., 1993. The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach. Journal of International Money and Finance 12, 451-474.
    • (1993) Journal of International Money and Finance , vol.12 , pp. 451-474
    • Levich, R.M.1    Thomas, L.R.2
  • 25
    • 77956852950 scopus 로고
    • Puzzles in international financial markets
    • Grossman, G.M., Rogoff, K. (Eds.), North Holland, Amsterdam
    • Lewis, K., 1995. Puzzles in international financial markets. In: Grossman, G.M., Rogoff, K. (Eds.), Handbook of International Economics, vol. 3. North Holland, Amsterdam, pp. 1913-1971.
    • (1995) Handbook of International Economics , vol.3 , pp. 1913-1971
    • Lewis, K.1
  • 26
    • 0344012698 scopus 로고    scopus 로고
    • Institutional Investor, April
    • Muehring, K., 1997. The Feds repo man. Institutional Investor, April, pp. 45-48.
    • (1997) The Feds Repo Man , pp. 45-48
    • Muehring, K.1
  • 27
    • 0003453948 scopus 로고    scopus 로고
    • Technical analysis and central bank intervention
    • Federal Reserve Bank of St. Louis, St. Louis, MO
    • Neely, C., Weller, P., 1997. Technical analysis and central bank intervention. Technical report, Federal Reserve Bank of St. Louis, St. Louis, MO.
    • (1997) Technical Report
    • Neely, C.1    Weller, P.2
  • 28
    • 0344875742 scopus 로고    scopus 로고
    • Foreign exchange markets and central bank intervention
    • J.L. Kellogg Graduate School of Management, Northwestern University, Evanston, IL
    • Sapp, S., 1997. Foreign exchange markets and central bank intervention. Technical report, J.L. Kellogg Graduate School of Management, Northwestern University, Evanston, IL.
    • (1997) Technical Report
    • Sapp, S.1
  • 30
    • 0344875741 scopus 로고
    • Technical trading: When it works and when it doesn't
    • Silber, W.L., 1994. Technical trading: when it works and when it doesn't. The Journal of Derivatives 1 (3), 39-44.
    • (1994) The Journal of Derivatives , vol.1 , Issue.3 , pp. 39-44
    • Silber, W.L.1
  • 31
    • 0344875740 scopus 로고    scopus 로고
    • Do central banks lose on foreign-exchange intervention? A review article
    • Georgetown University, Washington, DC
    • Sweeney, R., 1996. Do central banks lose on foreign-exchange intervention? A review article. Technical report, Georgetown University, Washington, DC.
    • (1996) Technical Report
    • Sweeney, R.1
  • 32
    • 0000935002 scopus 로고
    • Beating the foreign exchange market
    • Sweeney, R.J., 1986. Beating the foreign exchange market. Journal of Finance 41, 163-182.
    • (1986) Journal of Finance , vol.41 , pp. 163-182
    • Sweeney, R.J.1
  • 33
    • 0031211482 scopus 로고    scopus 로고
    • Central bank intervention and trading rule profits in foreign exchange markets
    • Szakmary, A.C., Mathur, I., 1997. Central bank intervention and trading rule profits in foreign exchange markets. Journal of International Money and Finance 16, 513-535.
    • (1997) Journal of International Money and Finance , vol.16 , pp. 513-535
    • Szakmary, A.C.1    Mathur, I.2
  • 34
    • 0001080606 scopus 로고
    • Exchange rate speculation and chaos inducing intervention
    • Szpiro, G.G., 1994. Exchange rate speculation and chaos inducing intervention. Journal of Economic Behavior and Organization 24, 363-368.
    • (1994) Journal of Economic Behavior and Organization , vol.24 , pp. 363-368
    • Szpiro, G.G.1
  • 35
    • 0001078657 scopus 로고
    • Official intervention in the foreign exchange market, or, bet against the central bank
    • Taylor, D., 1982. Official intervention in the foreign exchange market, or, bet against the central bank. Journal of Political Economy 90 (2), 356-368.
    • (1982) Journal of Political Economy , vol.90 , Issue.2 , pp. 356-368
    • Taylor, D.1
  • 36
    • 0000659363 scopus 로고
    • The use of technical analysis in the foreign exchange market
    • Taylor, M., Allen, H., 1992. The use of technical analysis in the foreign exchange market. Journal of International Money and Finance 11 (3), 304-314.
    • (1992) Journal of International Money and Finance , vol.11 , Issue.3 , pp. 304-314
    • Taylor, M.1    Allen, H.2
  • 37
    • 84984474597 scopus 로고
    • Rewards available to currency futures speculators: Compensation for risk or evidence of inefficient pricing?
    • Taylor, S.J., 1992. Rewards available to currency futures speculators: compensation for risk or evidence of inefficient pricing?. Economic Record 68, 105-116.
    • (1992) Economic Record , vol.68 , pp. 105-116
    • Taylor, S.J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.