Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data...

Estimating the effect of official foreign exchange market intervention is complicated by the fact that intervention at any point entails a "self-selection" choice made by the authorities and that no counterfactual is observed. To address these issues, we estimate the "counterfactual" exchange...

This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate over the 1995-1998 period. Using an event study methodology and different criteria for effectiveness, some evidence that intervention was systematically associated with both a change in...

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...