English, Article edition: Real-time effects of central bank intervention in the euro market Fatum, Rasmus; Pedersen, Jesper

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Real-time effects of central bank intervention in the euro market
Author
  • Fatum, Rasmus
  • Pedersen, Jesper
Physical Description
  • article
Notes
  • This paper investigates the real-time effects of sterilized foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Our analysis employs a two-step weighted least squares estimation procedure. We control for macro surprises, address the issue of endogeneity, and carry out an array of robustness tests. Only when the direction of intervention is consistent with the monetary policy stance do we find that intervention exerts a significant influence on exchange rate returns.
  • Foreign exchange intervention Intraday data ERM II
  • RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20
Language
  • English
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