Intraday effects of foreign exchange intervention by the Bank of Japan

Chang, Yuanchen; Taylor, Stephen J.

doi:10.1016/s0261-5606(97)00056-9

Cited by 104 publications

(76 citation statements)

References 22 publications

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“…Reuters reports by Chang and Taylor (1998), Dominguez (2003), Peiers (1997), Sapp (2003) and others. The issues concern the observation that Reuters' coverage of foreign exchange interventions is not uniform across countries and that disclosure practices among the central banks have changed over time.…”

Section: Is It Possible To Extrapolate the Swiss Results To Other Stumentioning

confidence: 99%

“…Goodhart and Hesse (1993) measure the difference in terms of one hour. Chang and Taylor (1998) examine a 10 minute frequency, whereas Dominguez (2003a) and Sapp (2002) operate with a 5 minute interval.…”

Section: Snb Transactions Data Reuters News Reports and Data Propermentioning

confidence: 99%

“…Several studies such as Dominguez (2003a), Sapp (2002), and Chang and Taylor (1998) use the frequency of media reports as an indirect proxy for the number of intervention trades or the number of intervention sessions during a trading session. Chang and Taylor (1998) use a filtering rule that excludes announcements two hours after the first announcement, whereas Sapp (2002) excludes reports that are within the first two hours. where Reuters failed to report an intervention when the SNB did intervene, however there were no cases of false reporting; i.e., Reuters announces an SNB intervention but no intervention took place.…”

Section: Snb Transactions Data Reuters News Reports and Data Propermentioning

confidence: 99%

“…Dominguez (2003a, b) and Goodhart and Hesse (1993) use Reuters news reports together with intra-daily data to test the signaling hypothesis. Chari (2002), Chang and Taylor (1998), and Melvin and Peiers (1995) rely on the same information source to determine if central bank interventions dampen exchange rate volatility. In a similar spirit, Peiers (1997) and Sapp (2002) work with Reuters intervention announcements to examine issues of price leadership.…”

Section: Introductionmentioning

confidence: 99%

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On the inadequacy of newswire reports for empirical research on foreign exchange interventions

Fischer

2006

Journal of International Money and Finance

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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. This discussion paper series represents research work-in-progress and is distributed with the intention to foster discussion. The views herein solely represent those of the authors. No research paper in this series implies agreement by the Study Center Gerzensee and the Swiss National Bank, nor does it imply the policy views, nor potential policy of those institutions. Terms of use: Documents in EconStor may On the Inadequacy of Newswire Reports for Empirical Research on Foreign Exchange InterventionsAndreas M. Fischer* Swiss National Bank and CEPR AbstractReuters news reports have become an accepted tool for empirical studies analyzing informational asymmetries in FX markets. This paper tests the accuracy of the Reuters reports for Swiss interventions in the foreign exchange market. The evidence finds that the time stamp of the Reuters reports does not always lie near the recorded time of the first intervention trade as is commonly assumed in market microstructure studies. The standard deviation of the time difference is measured in hours and not in minutes. These and other regression results question the accuracy of Reuters reports for Swiss interventions.JEL Classification Number: F31, F33

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Section: Is It Possible To Extrapolate the Swiss Results To Other Stumentioning

confidence: 99%

Section: Snb Transactions Data Reuters News Reports and Data Propermentioning

confidence: 99%

Section: Snb Transactions Data Reuters News Reports and Data Propermentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

On the inadequacy of newswire reports for empirical research on foreign exchange interventions

Fischer

2006

Journal of International Money and Finance

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“…Despite the narrow window, the chance that we might fail to count an intervention as successful because the appropriate exchange-rate movement occurred beyond the opening on day t+1 seems remote. Chang andTaylor (1998), Chueng andChinn (2001), and Dominguez (2003), among others, suggest that exchange markets begin to respond to intervention within minutes or hours, not days. Likewise, a majority of central bank officials in Neely's (2001) survey contended that exchange rates reflect the full effects of intervention within hours.…”

Section: Success Countsmentioning

confidence: 99%

The Federal Reserve as an Informed Foreign-Exchange Trader: 1973-1995

Humpage¹

2011

Working Paper (Federal Reserve Bank of Cleveland)

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If offi cial interventions convey private information useful for price discovery in foreign-exchange markets, then they should have value as a forecast of near-term exchange-rate movements. Using a set of standard criteria, we show that approximately 60 percent of all U.S. foreign-exchange interventions between 1973 and 1995 were successful in this sense. This percentage, however, is no better than random. U.S. intervention sales and purchases of foreign exchange were incapable of forecasting dollar appreciations or depreciations. U.S. interventions, however, were associated with more moderate dollar movements in a manner consistent with leaning against the wind, but only about 22 percent of all U.S. interventions conformed to this pattern. We also found that the larger the size of an intervention, the greater was its probability of success, although some interventions were ineffi ciently large. Other potential characteristics of intervention, notably coordination and secrecy, did not seem to infl uence our success rates. There is no evidence, nor does anybody here [in the FOMC] believe that there is any evidence, to confirm that sterilized intervention does anything.

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Central bank interventions in industrialized countries: a characterization based on survey results

Lecourt

Raymond

2006

Int. J Fin Econ

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This paper presents the findings from a survey on central banks' FOREX intervention practices in industrialized countries over the last decade. The answers of responding monetary authorities are examined with respect to available data and literature. Our findings indicate that interventions usually take place during normal working hours while central banks show some preference for dealing with major domestic banks. Correction or prevention of long-term misalignments of exchange rates with their fundamental values and, to a lesser extent, the reduction of exchange rate volatility is the first motive given for intervention. The signalling effect of interventions is consistently put forward as the main channel through which interventions work. Copyright © 2006 John Wiley & Sons, Ltd.

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Intraday effects of foreign exchange intervention by the Bank of Japan

Cited by 104 publications

References 22 publications

On the inadequacy of newswire reports for empirical research on foreign exchange interventions

On the inadequacy of newswire reports for empirical research on foreign exchange interventions

The Federal Reserve as an Informed Foreign-Exchange Trader: 1973-1995

Central bank interventions in industrialized countries: a characterization based on survey results

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