Financial Markets Group
London School of Economics
London WC2A 2AE
NBER Working Papers and Publications
|March 2007||The Influence of Actual and Unrequited Interventions|
with Kathryn M.E. Dominguez: w12953
Intervention operations are used by governments to manage their exchange rates but officials rarely confirm their presence in the market, leading inevitably to erroneous reports in the financial press. There are also reports of what we term, unrequited interventions, interventions that the market expects but do not materialize. In this paper we examine the effects of various types of intervention news on intra-day exchange rate behavior. We find that unrequited interventions have a statistically significant influence on returns, volatility and order flow, suggesting that the expectation of intervention, even when governments do not intervene, can affect currency values.
Published: International Journal of Finance and Economics, 12, 2007, 171-200. citation courtesy of
|November 2005||What Defines "News" in Foreign Exchange Markets?|
with Kathryn Dominguez: w11769
This paper examines whether the traditional sets of macro surprises, that most of the literature considers, are the only sorts of news that can explain exchange rate movements. We examine the intra-daily influence of a broad set of news reports, including variables which are not typically considered "fundamentals" in the context of standard models of exchange rate determination, and ask whether they too help predict exchange rate behavior. We also examine whether "news" not only impacts exchange rates directly, but also influences exchange rates via order flow (signed trade volume). Our results indicate that along with the standard fundamentals, both non-fundamental news and order flow matter, suggesting that future models of exchange rate determination ought to include all three types of ...
Published: Journal of International Money and Finance, 25, 2006, 168-198. citation courtesy of