The Federal Reserve’s unconventional monetary policy announcements in 2008-2009 substantially reduced international long-term bond yields and the spot value of the dollar. These changes closely followed announcements and were very unlikely to have occurred by chance. A simple portfolio choice...

Most intervention studies have been silent on the assumed structure of the economic system - implicitly imposing implausible assumptions - despite the fact that inference depends crucially on such issues. This paper identifies the cross-effects of intervention and the level of exchange rates...

Shleifer and Vishny (1997) pointed out some of the practical and theoretical problems associated with assuming that rational speculation would quickly drive asset prices back to long-run equilibrium. In particular, they showed that the possibility that asset price disequilibrium would worsen,...

Most intervention studies have been silent on the assumed structure of the economic system - implicitly imposing implausible assumptions - despite the fact that inference depends crucially on such issues. This paper proposes to identify the cross-effects of intervention with the level and...

This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample....

This paper argues that major governments should act as long-term speculators by intervening to profit from floating exchange rates reversion to fundamentals. Such transactions would improve welfare by transferring risk from private agents to the risk-tolerant government. Interventions explicitly...

This paper presents the results of a survey of monetary authorities with respect to foreign exchange intervention. The survey offers evidence on new issues that would otherwise be difficult to investigate, such as response times, non-foreign exchange factors in intervention and profitability....

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from forex technical rules in major and emerging markets, the...

Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is...

This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades. Academic researchers have sought to fit the three major characteristics of foreign exchange volatility: intraday periodicity, autocorrelation and discontinuities in prices. Early...