The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention … operations available to researchers. The authors investigate the effectiveness of sterilized intervention in the Canadian dollar … criteria for success, and use both daily data and high-frequency (intraday) intervention and exchange rate data. The time …

This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate … spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple … theoretical model of the bid-ask spread which we use to formulate testable hypotheses regarding how unannounced intervention …

This paper addresses the question of whether sterilized central bank intervention systematically affects exchange rates …. Furthermore, the paper analyzes whether a central bank can conduct its intervention operations in a specific manner, in order to … the finance literature to daily data on Bundesbank and Fed post-Plaza intervention. Using the non-parametric sign test and …

Studies of central bank intervention are complicated by the fact that we typically observe intervention only during … determine what would have occurred in the absence of intervention and we introduce the method of propensity score matching to … the intervention literature in order to estimate the "average treatment effect" (ATE) of intervention. Specifically, we …

This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate market over …, movements in the CAD/USD exchange rate over the 1 through 10 days surrounding intervention events are investigated. It is shown … that Bank of Canada intervention was systematically associated with both a change in the direction and a smoothing of the …

This paper analyzes official, high-frequency Bank of Canada intervention and exchange rate data (the latter quoted at … data is of particular interest as it spans over two distinctly different intervention regimes - one characterized by purely … rules-based ("mechanistic") intervention versus one characterized by both rules-based and discretionary intervention. This …

This paper investigates the real-time effects of foreign exchange intervention using official intraday intervention … data provided by the Danish central bank. Denmark is currently pursuing an active intervention policy under the provisions …, Diebold and Vega (2003) and an array of robustness tests. We find that intervention exerts a statistically and economically …

This paper investigates the real-time effects of foreign exchange intervention using official intraday intervention … data provided by the Danish central bank. Denmark is currently pursuing an active intervention policy under the provisions … and Vega (2003) and an array of robustness tests. We find that intervention exerts a statistically and economically …

Studies of central bank intervention are complicated by the fact that we typically observe intervention only during … determine what would have occurred in the absence of intervention and we introduce the method of propensity score matching to … the intervention literature in order to estimate the average treatment effect" (ATE) of intervention. Specifically, we …