Bordo, Michael D.
[Verfasser:in]
;
Schwartz, Anna J.
[Sonstige Person, Familie und Körperschaft];
Humpage, Owen F.
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
The Federal Reserve as an Informed Foreign Exchange Trader
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, September 2011
Erschienen in:NBER working paper series ; no. w17425
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w17425
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
System requirements: Adobe [Acrobat] Reader required for PDF files
Beschreibung:
If official interventions convey private information useful for price discovery in foreign-exchange markets, then they should have value as a forecast of near-term exchange-rate movements. Using a set of standard criteria, we show that approximately 60 percent of all U.S. foreign-exchange interventions between 1973 and 1995 were successful in this sense. This percentage, however, is no better than random. U.S. intervention sales and purchases of foreign exchange were incapable of forecasting dollar appreciations or depreciations. U.S. interventions, however, were associated with more moderate dollar movements in a manner consistent with leaning against the wind, but only about 22 percent of all U.S. interventions conformed to this pattern. We also found that the larger the size of an intervention, the greater was its probability of success, although some interventions were inefficiently large. Other potential characteristics of intervention, notably coordination and secrecy, did not seem to influence our success rates