This paper examines the impact of central bank intervention operation on the price discovery of ask and bid quotes in an electronic limit order market of USD-JPY. Based on both methods of Hasbrouck (1995) and Gonzalo and Granger (1995), we find bid quotes provide more price discovery in the...

To study the impact of institutional features of target zones on the conditional volatility of exchange rates, this paper proposes a simple and intuitive model to incorporate the announced information in the bands. Observing the statistical characteristics of the EMS cross rate returns- mean...