ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News and Intervention

Fatum, Rasmus; Hutchison, Michael M.

doi:10.2139/ssrn.304519

Cited by 40 publications

(60 citation statements)

References 10 publications

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“…The role of statements has been studied by several authors including Fatum and Hutchinson (2002) and Jansen and de Haan (2005). Basically, official statements can be regarded as a complementary or substitute tools for FX operations.…”

Section: Statementsmentioning

confidence: 99%

“…Two types of statements are included in our analysis: (i) those giving pieces of information about the future exchange rate policy (i.e. statements informing the market of the authorities' view of exchange rates level or their volatility); and (ii) those clearly indicating the possibility of a future intervention which may be seen as threats to intervene (see Fatum and Hutchinson, 2002). A dummy variable (statement) is used to indicate whether such statements occurred on a given trading day.…”

Section: Statementsmentioning

confidence: 99%

See 1 more Smart Citation

Intervention policy of the BoJ: A unified approach

Beine

Bernal²,

Gnabo

et al. 2009

Journal of Banking & Finance

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Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to capture their relationships and to characterize the prominent features of the various steps of the intervention decision. Our findings shed some light on the determinants of central bank interventions, on the so-called secrecy puzzle and on the identification of the variables influencing the detection of foreign exchange transactions by market traders. Financial support from the Belgian National Fund for Scientific Research (FRFC Program) is gratefully acknowledged. We would like to thank Cinzia Cirillo for computational assistance as well as Agnès Bénassy-Quéré for providing us with estimates of the fundamental exchange rate value. We are also grateful to Gabriele Galati for sharing his dataset that allows to make some cross-checks with our findings. We thank participants of seminars and conference held in Luxembourg, Paris Nanterres and at the Bank of Canada for comments and suggestions, and in particular G. Galati, C. De Souza and R. Miller. The usual disclaimer applies.

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Section: Statementsmentioning

confidence: 99%

Section: Statementsmentioning

confidence: 99%

Intervention policy of the BoJ: A unified approach

Beine

Bernal²,

Gnabo

et al. 2009

Journal of Banking & Finance

View full text Add to dashboard Cite

show abstract

“…Some researchers may find our timing conventions unduly narrow and prone to miss relevant exchange-rate developments that occur beyond the event window (see Goodhart andHesse 1993, andFatum andHutchison 2002). We might fail to count an intervention successful if the appropriate exchange-rate movement occurs beyond closing on day t. The chances of this type of error seem remote.…”

Section: Timing Conventionmentioning

confidence: 99%

Swedish Intervention and the Krona Float, 1993-2002

Humpage¹,

Ragnartz²

2005

Working Paper (Federal Reserve Bank of Cleveland)

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The Working Paper series presents reports on matters in the sphere of activities of the Riksbank that are considered to be of interest to a wider public. The papers are to be regarded as reports on ongoing studies and the authors will be pleased to receive comments. Terms of use: Documents inThe views expressed in Working Papers are solely the responsibility of the authors and should not to be interpreted as refl ecting the views of the Executive Board of Sveriges Riksbank. Swedish Intervention and the Krona Float, 1993-2002Owen F. Humpage and Javiera Ragnartz AbstractUsing a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater-and usually substantially smaller-than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.

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“…Verbal interventions are statements by central bank officials that either support or undermine the domestic currency without necessarily referring to central bank interventions. Fratzscher (2005Fratzscher ( , 2006, de Haan (2005, 2007), and Fatum and Hutchison (2002) use an indicator function to filter positive and negative statements by ECB officials and others in reference to the euro. The evidence is mixed.…”

Section: Introductionmentioning

confidence: 99%

Communicating policy options at the zero bound

Burkhard

Fischer

2009

Journal of International Money and Finance

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This paper examines a special episode in communication practices of the Swiss National Bank (SNB) when short-term interest rates reached the zero bound. A particular feature of SNB communication policy at the time was to talk openly about alternative policy instruments despite the fact that they were never implemented. Non-sterilized FX interventions were frequently mentioned as a potential instrument. We ask how did financial markets respond to the SNB's repeated references of non-sterilized interventions? The empirical results with high frequency data provide strong evidence that SNB intervention references depreciated the domestic currency for several hours. The case study supports the view that communication is an effective tool for monetary policy.

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ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News and Intervention

Cited by 40 publications

References 10 publications

Intervention policy of the BoJ: A unified approach

Intervention policy of the BoJ: A unified approach

Swedish Intervention and the Krona Float, 1993-2002

Communicating policy options at the zero bound

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