NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Kathryn M.E. Dominguez

NBER Working Paper No. 9875
Issued in July 2003
NBER Program(s):   IFM   AP

This paper examines dollar interventions by the G3 governments 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 increase longer-term volatility.

download in pdf format
   (259 K)

email paper

This paper is available as PDF (259 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w9875

Published: Journal of International Money and Finance, 25, 2006, 1051-1071. citation courtesy of

Users who downloaded this paper also downloaded these:
Dominguez w7337 The Market Microstructure of Central Bank Intervention
Dominguez w4532 Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?
Dominguez and Panthaki w11769 What Defines "News" in Foreign Exchange Markets?
Kearns and Rigobon w9062 Identifying the Efficacy of Central Bank Interventions: The Australian Case
Andersen, Bollerslev, Diebold, and Vega w8959 Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us