When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?

Kathryn Dominguez

No 506, Working Papers from Research Seminar in International Economics, University of Michigan

Abstract: This paper examines dollar interventions by the G3 since 1989, and the reasons that trader reactions to these interventions might differ over time and across central banks. Market microstructure theory provides a framework for understanding the process by which sterilized central bank interventions are observed and interpreted by traders, and how this process in turn, might influence exchange rates. Using intra-daily and daily exchange-rate and intervention data, the paper analyzes the influence of interventions on exchange-rate volatility, finding evidence of both within day and daily impact effects, but little evidence that interventions influence longer term volatility.

Keywords: central bank intervention; exchange rate volatility; market-microstructure (search for similar items in EconPapers)
JEL-codes: E58 F31 G14 G15 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2003
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Citations: View citations in EconPapers (23)

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http://fordschool.umich.edu/rsie/workingpapers/Papers501-525/r506.pdf

Related works:
Journal Article: When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006)
Working Paper: When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:mie:wpaper:506

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