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Perceived central bank intervention and market expectations : an empirical study of the yen/dollar exchange rate, 1993-96

Author: Gabriele Galati; William Melick; Bank for International Settlements. Monetary and Economic Department.
Publisher: Basel : Bank for International Settlements, Monetary and Economic Dept., ©1999.
Series: BIS working papers, no. 77.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
This paper uses a new data set, based on Reuters news articles, to capture intervention that is perceived by FX traders and probability density functions (PDFs) estimated from option data to describe market expectations. We find that, between September 1993 and April 1996, traders viewed the Bank of Japan as responding mainly to deviations of the exchange rate from what they considered to be some implicit target  Read more...
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Additional Physical Format: Online version:
Galati, Gabriele.
Perceived central bank intervention and market expectations.
Basel : Bank for International Settlements, Monetary and Economic Dept., ©1999
(OCoLC)891403771
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Gabriele Galati; William Melick; Bank for International Settlements. Monetary and Economic Department.
OCLC Number: 42881141
Notes: Cover title.
"October 1999."
Description: 22 pages : illustrations ; 31 cm.
Series Title: BIS working papers, no. 77.
Responsibility: by Gabriele Galati and William Melick.

Abstract:

This paper uses a new data set, based on Reuters news articles, to capture intervention that is perceived by FX traders and probability density functions (PDFs) estimated from option data to describe market expectations. We find that, between September 1993 and April 1996, traders viewed the Bank of Japan as responding mainly to deviations of the exchange rate from what they considered to be some implicit target levels. On the other hand, the Federal Reserve was viewed to have mainly intervened when market conditions seemed most conducive to a successful intervention. We find that perceived intervention had no statistically significant effect on the exchange rate level and on the skewness of the PDFs. We also present evidence that, on average, perceived intervention increased traders' uncertainty about future exchange rate movements.

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