In recent years there have been high profile currency interventions by the Swiss National Bank (SNB) and the Bank of Japan (BoJ). In this note, we review these interventions, with a focus on the profitability of currency intervention, along with the relationship between profitability and the...

We use statistical techniques to identify the co-movement among the bond yields of 12 advanced countries, and thus estimate two-year and 10-year World Interest Rates. Daily and monthly changes in the estimated World Interest Rates explain a lot of the variation in New Zealand bond yields.

The prices for foreign exchange options allow us to extract information on implied market perceptions of future exchange rate risk. This note illustrates the techniques, looking at the behaviour of the New Zealand dollar over recent years. Our analysis suggests that the behaviour of the NZD/USD...