Intervention from an information perspective

Journal of International Financial Markets, Institutions and Money

Volumn 10, Issue 3-4, 2000, Pages 407-421

  Baillie, Richard T ^a,d   Humpage, Owen F ^b   Osterberg, William P ^b,c  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b FEDERAL RESERVE BANK OF CLEVELAND   (United States)

^c UNIVERSITY OF NOTRE DAME   (United States)

^d QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Central bank intervention; Exchange rates; Information flows

Indexed keywords

EID: 0034369034     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(00)00044-5     Document Type: Article

References (51)

1. Admati, A.R., 1991. The informational role of prices. J. Monetary Econ. 28, 347-361.
2. Admati, A.R., Pfleiderer, P., 1988. A theory of intraday patterns: volume and price variability. Rev. Financial Stud. 1, 3-40.
3. Almekinders, G.J., 1995. Foreign Exchange Intervention, Theory and Evidence. Elgar, Hants, UK.
4. Andersen, T.G., Bollerslev T., 1998. Deutsche mark-dollar volatility: Intraday activity, patterns, macroeconomic announcements and longer run dependence. J. Finance 53, 219-265.
5. Baillie, R.T., Osterberg, W.P., 1997a. Central bank intervention and risk in the forward market. J. Int. Econ. 43, 483-497.
6. Baillie, R.T., Osterberg, W.P., 1997b. Why do central banks intervene. J. Int. Money Finance 16, 909-919.
7. Bhattacharya, U., Weller, P., 1997. The advantage to hiding one's hand: speculation and central bank intervention in the foreign exchange market. J. Monetary Econ. 39, 251-277.
8. Beattie, N., Fillion, J.F. 1999. An intraday analysis of the effectiveness of foreign exchange intervention. Bank of Canada Working Paper 99-104.
9. Bonser-Neal, C., Tanner, G., 1996. Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. J. Int. Money Finance 15, 853-878.
10. Bonser-Neal, C., Roley, V.V., Sellon, G.H., Jr, 1998. Monetary policy actions, intervention, and exchange rates: a reexamination of the empirical relationships using federal funds rate target data. J. Business 71, 147-177.
11. Carlson, J.B., McIntire, J.M., Thomson, J.B., 1995. Federal funds futures as an indicator of future monetary policy: a primer. Fed. Reserve Bank Cleveland Econ. Rev. 31, 20-30.
12. Chang, Y., Taylor, S.J., 1998. Intraday effects of foreign exchange intervention by the bank of Japan. J. Int. Money Finance 17, 191-210.
13. Dominguez, K.M., 1998. Central bank intervention and exchange rate volatility. J. Int. Money Finance 17, 161-190.
14. Dominguez, K.M., Frankel, J.A., 1993a. Does Foreign Exchange Intervention Work? Institute for International Economics, Washington, DC.
15. Dominguez, K.M., Frankel, J.A., 1993b. Does foreign exchange intervention matter? The portfolio effect. Am. Econ. Rev. 83, 1356-1369.
16. Ederington, L.H., Lee, J.H., 1993. How markets process information: news releases and volatility. J. Finance 48, 1161-1191.
17. Edison, H., 1993. The effectiveness of central bank intervention: a survey of the literature after 1982. Princeton University, Special Papers in International Economics, No. 18.
18. Fama, E.F., 1970. Efficient capital markets: a review of theory and empirical work. J. Finance 25, 383-417.
19. Fatama, R., Hutchison, M., 1999. Is intervention a signal of future monetary policy? Evidence from the federal funds futures market. J. Money Credit Bank 31, 54-69.
20. Galati, G., Melick, W., 1999. Perceived central bank intervention and market expectations: an empirical study of the yen-dollar exchange rate. BIS working paper 77.
21. Ghosh, A., 1992. Is it signaling? Exchange intervention and the dollar-deutschemark rate. J. Int. Econ. 32, 201-220.
22. Glick, R., Hutchison, M.M., 1994. Monetary policy, intervention and exchange rates in Japan. In: Glick, R., Hutchison, M.M. (Eds.), Exchange Rate Policy and Interdependence: Perspectives for the Pacific Basin. Cambridge University Press, New York, NY.
23. Goldberg, M.D., Frydman, R., 1996. Imperfect knowledge and behavior in the foreign exchange market. Econ. J. 106, 869-893.
24. Goodhart, C.A.E., Hesse, T., 1993. Central bank forex intervention assessed in continuous time. J. Int. Money Finance 12, 368-389.
25. Grossman, S.J., Stiglitz, J.E., 1980. On the impossibility of informationally efficient markets. Am. Econ. Rev. 70, 393-408.
26. Hsieh, D.A., Kleidon, A., 1996. Bid-ask spreads in foreign exchange markets: implications for models of asymmetric information. In: Frankel, J.A., Galli, G., Giovannini, A. (Eds.), The Microstructure of Foreign Exchange Markets. University of Chicago Press, Chicago.
27. Humpage, O.F., 1994. Institutional aspects of US intervention. Fed. Reserve Bank Cleveland Econ. Rev. 30, 2-19.
28. Humpage, O.F., 1999. US intervention: assessing the probability of success. J. Money Credit Bank 31, 731-747.
29. Hung, J.H., 1997. Intervention strategies and exchange rate volatility: a noise trading perspective. J. Int. Money Finance 16, 779-793.
30. Ito, T., 1993. Foreign exchange rate expectations: micro survey data. In: Das, D.K. (Ed.), International Finance: Contemporary Issues. Routledge, New York.
31. Kaminsky, G., Lewis, K.K., 1996. Does foreign exchange intervention signal future monetary policy. J. Monetary Econ. 37, 285-312.
32. Klein, M.W., 1993. The accuracy of reports of foreign exchange intervention. J. Int. Money Finance 12, 644-653.
33. Leahy, M.P., 1995. The profitability of US intervention in the foreign exchange markets. J. Int. Money Finance 14, 823-844.
34. LeBaron, B., 1999. Technical trading rules profitability and foreign exchange intervention. J. Int. Econ. 49, 126-143.
35. Lewis, K.K., 1995. Are foreign exchange interventions and monetary policy related, and does it really matter. J. Business 68, 185-214.
36. Murry, J., Zelmer, M., McMannus, D., 1996. The effect of intervention on Canadian dollar volatility. Technical report of the Bank of Canada.
37. Mussa, M.L., 1981. The role of official intervention. In: Melaned, L. (Ed.), The Merits of Flexible Exchange Rates: An Anthology. George Mason University Press, Fairfax, VA.
38. Neely, C.J., 1998. Technical analysis and the profitability of US foreign exchange intervention. Federal Reserve Bank of St. Louis Review. July/August, pp. 3-17.
39. Neely, C., Weller, P., 1997. Technical analysis and central bank intervention. Federal Reserve Bank of St. Louis Working Paper 97-002A.
40. Neely, C., Weller, P., Dittmar, R., 1997. Is technical analysis profitable in the foreign exchange market? A genetic programming approach. J. Financial Quantitat. Anal. 32, 405-426.
41. Osler, C.L., 1998. Short-term speculators and the puzzling behavior of exchange rates. J. Int. Econ. 45, 37-57.
42. Osterberg, W.P., Wetmore-Humes, R., 1993. On the inaccuracy of newspaper reports of intervention. Fed. Reserve Bank Cleveland Econ. Rev. 29, 25-33.
43. Osterberg, W.P., Wetmore-Humes, R., 1995. More on the differences between reported and actual US central bank foreign exchange intervention. Federal Reserve Bank of Cleveland Working Paper 9501.
44. Osterberg, W.P., Thomson, J., 1999. The exchange stabilization fund: how it works. Federal Reserve Bank of Cleveland Economic Commentary.
45. Peiers, B., 1997. Informed traders, intervention, and price leadership: a deeper view of the microstructure of the foreign exchange market. J. Finance 52, 1589-1614.
46. Reeves, S.F., 1997. Exchange rate management when sterilized interventions represent signals of monetary policy. Int. Rev. Econ. Finance 6, 339-360.
47. Sweeney, R.J., 1997. Do central banks lose on foreign exchange intervention? A review article. J. Bank. Finance 21, 1667-1684.
48. Sweeney, R.J., 2000. Does the fed beat the foreign exchange market. J. Bank. Finance 24, 665-694.
49. Szakmary, A.C., Mathur, I., 1997. Central bank intervention and trading rule profits in foreign exchange markets. J. Int. Money Finance 16, 513-535.
50. Szipro, G.G., 1994. Exchange rate speculation and chaos inducing intervention. J. Econ. Behav. Organization 24, 363-368.
51. Todd, W.F., 1992. Disorderly markets: the law, history, and economics of the exchange stabilization fund and US foreign exchange market intervention. In: Research in Financial Services Public and Private Policy. JAI Press, Greenwich, CT.