The intraday effects of central bank intervention on exchange rate spreads
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Standard
The intraday effects of central bank intervention on exchange rate spreads. / Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman.
I: Journal of International Money and Finance, Bind 33, 03.2013, s. 103-117.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - The intraday effects of central bank intervention on exchange rate spreads
AU - Fatum, Rasmus
AU - Pedersen, Jesper
AU - Sørensen, Peter Norman
N1 - JEL classifications: E58; F31; G15
PY - 2013/3
Y1 - 2013/3
N2 - We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty
AB - We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty
KW - Foreign exchange intervention
KW - ERM II
KW - Exchange rate spreads
KW - Intraday data
U2 - 10.1016/j.jimonfin.2012.10.006
DO - 10.1016/j.jimonfin.2012.10.006
M3 - Journal article
VL - 33
SP - 103
EP - 117
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
SN - 0261-5606
ER -
ID: 97142021