Stabilization of the Canadian Dollar: 1952-1960

Excess returns and official intervention: some cross country evidence

“…E V I D E N C E using spectral methods. Pippenger and Phillips (1973) demonstrate that spectral analysis can adequately estimate the The above model suggests that the potential speculative variance of exchange rate changes in the absence of interprofits of Tables 1 and 2 could be due to the presence of vention, i.e. a;. "…”

“…In his Marshall lectures of 1985, Kindleberger (1987, p. 47) expresses the view that intervention by central banks often give rise to speculative profits. The next section provides a simplified model of an official intervention, originally developed by Pippenger and Phillips (1973). Davutyan and Pippenger (1989) and Phillips and Pippenger (1 993) contain further refinements.…”

“…Davutyan and Pippenger (1989) and Phillips and Pippenger (1 993) contain further refinements. Pippenger and Phillips (1973) derive the reduced form of equations for a simple model where the exchange rate performs a random walk in the absence of intervention.…”

“…The massive interventions of September 1992 associated with the transition to a single currency within the framework of the European Monetary System (EMS) provide further evidence of its importance. Second, the work by Pippenger and Phillips (1973), which argue that leaning-against-the-wind introduces serial correlation, i.e. structure into exchange rate changes.…”

Intervention and the Risk Premium in Foreign Exchange Rates

“…There is some evidence that Canadian central-bank intervention has systematically reduced short-run exchange-rate fluctuations (Pippenger and Phillips [1973]). However, this conclusion is disputed by Sweeney (1981).…”