Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data

Journal of International Money and Finance

Volumn 27, Issue 3, 2008, Pages 438-454

  Fatum, Rasmus ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Currency co movement; Event studies; Foreign exchange intervention

Indexed keywords

EID: 41149150096     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2008.01.003     Document Type: Article

References (24)

1. Beattie, N., Fillion, J.F., 1999. An intraday analysis of the effectiveness of foreign exchange intervention. Bank of Canada working paper no. 99-4.
2. Beine M. Conditional covariances and direct central bank interventions in the foreign exchange markets. Journal of Banking and Finance 28 6 (2004) 1385-1411
3. Beine M., Laurent S., and Lecourt C. Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis. European Economic Review 47 5 (2003) 891-911
4. Ben-Horim M., and Levy H. Statistics: Decisions and Applications in Business and Economics (1984), Random House, New York
5. Chiu, P., 2003. Transparency versus constructive ambiguity in foreign exchange intervention. BIS working paper no. 144.
6. Dominguez, K.M.E., 2003. When do central bank interventions influence intra-daily and longer-term exchange rate movements. NBER working paper no. 9875 and forthcoming in the Journal of International Money and Finance.
7. Dominguez K.M.E., and Frankel J.A. Does Foreign Exchange Intervention Work? (1993), Institute for International Economics, Washington, D.C
8. D'Souza, C., 2002. A market microstructure analysis of foreign exchange intervention in Canada. Bank of Canada working paper no. 2002-16.
9. Edison H.J. The Effectiveness of Central Bank Intervention: A Survey of Post 1982 Literature. Essays in International Finance (1993), Princeton University Press, Princeton
10. Edison, H.J., Cashin, P., Liang, H., 2003. Foreign exchange intervention and the Australian dollar: Has it mattered? IMF working paper no. 03-99.
11. Eun C.S., and Lai S.C. Currency Comovement (2004), Georgia Institute of Technology, Mimeo
12. Fatum, R., 2000. On the effectiveness of sterilized foreign exchange intervention. ECB working paper no. 10.
13. Fatum R., and Hutchison M.M. Is sterilized foreign exchange intervention effective after all? An event study approach. Economic Journal 113 487 (2003) 390-411
14. Fatum R., and Hutchison M.M. Effectiveness of official daily foreign exchange market intervention operations in Japan. Journal of International Money and Finance 25 2 (2006) 199-219
15. Humpage, O., 2003. Government intervention in the foreign exchange market. Federal Reserve Bank of Cleveland working paper no. 03-15.
16. MacKinlay A.C. Event studies in economics and finance. Journal of Economic Literature 35 1 (1997) 13-39
17. Morel, C., Teiletche, J., 2004. Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2003. University of Paris-Dauphine working paper.
18. Murray J., Zelmer M., and McManus D. The Effect of Intervention on Canadian Dollar Volatility. In: Fenton P., and Murray J. (Eds). Exchange Rates and Monetary Policy - Proceedings of a Conference Held by the Bank of Canada, Ottawa (1996)
19. Neely C.J. The practice of central bank intervention: looking under the hood. Federal Reserve Bank of St. Louis Review 83 3 (2001) 1-10
20. Neely, C.J., 2005. An analysis of recent studies of the effect of foreign exchange intervention. Federal Reserve Bank of St. Louis working paper no. 05-30.
21. Phillips L., and Pippenger J. Stabilization of the Canadian Dollar: 1975-1986. Canadian Journal of Economics 26 (1993) 1589-1614
22. Pierdzioch C., and Stadtmann G. The Effectiveness of the interventions of the Swiss National Bank - an event study analysis. Swiss Journal of Economics and Statistics 140 2 (2004) 229-244
23. Rogers J.M., and Siklos P.L. Foreign exchange market intervention in two small open economies: the Canadian and Australian experience. Journal of International Money and Finance 22 3 (2003) 393-416
24. Sarno L., and Taylor M.P. Official intervention in the foreign exchange markets: is it effective and, if so, how does it work?. Journal of Economic Literature 39 3 (2001) 839-868