Is sterilised foreign exchange intervention effective after all? an event study approach
Bibliographic Data
| ID | 9719743 |
|---|---|
| Authors | Rasmus Fatum (University of Alberta School of Business University of California, Santa Cruz), Michael M Hutchison (0000-0003-4136-2211, University of Alberta School of Business University of California, Santa Cruz) |
| Year | 2003 |
| Volume | 113 |
| Issue | 487 |
| Pages | 390-411 |
| Publication date | 2003-04-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00122 |
| OpenAlex | W3125094895 |
| Language | EN |
| Citations received | 7 |
| References cited | 8 |
This study provides evidence supporting the effectiveness of sterilised foreign exchange market intervention by central banks using an event study approach. An event study framework is better suited to the study of sporadic and intense periods of official intervention, juxtaposed with continuously changing exchange rates, than standard time‐series studies. Focusing on daily Bundesbank and US official intervention operations, we identify separate intervention 'episodes' and analyse the subsequent effect on the exchange rate. Using the non‐parametric sign test and matched‐sample test, we find strong evidence that sterilised intervention systemically affects the exchange rate in the short run. This result is robust to changes in event window definitions over the short run and to controlling for central bank interest rate changes during events
Econometrics · Economics · Event (particle physics · Event study · Exchange rate · Foreign exchange · Geography · Intervention (counseling · Monetary economics · Parametric statistics · Sample (material · Statistics · Test (biology · Economic Policies and Impacts · Global Financial Crisis and Policies · Mathematics · Medicine · Monetary Policy and Economic Impact
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| Unique citing works | 7 |
|---|---|
| Citations per year | 0,39 |
| Citation span | 2008 - 2023 (16) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 7 |