Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity, and Transaction Costs in Proximity of Central Bank Interventions

We study the impact of Central Bank intervention on the process of price formation in currency markets. We use a unique dataset of tick-by-tick indicative quotes posted by dealers on Reuters terminals and of intraday sterilized spot interventions and customer transactions executed on behalf of the Swiss National Bank (SNB) on the Swiss Franc/U.S. Dollar exchange rate (CHFUSD) between 1986 and 1998. (...)

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Year of publication:	2003-11-03
Authors:	Pasquariello, Paolo
Publisher:	Salomon Center <New York, NY>
Subject:	Preisbildung \| pricing \| Notenbank \| Central Bank \| Währungspolitik \| Sterilized Central Bank Intervention \| Fremdwährung

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Extent:	561152 bytes 61 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Publications Arbeitspapier - NYU Salomon Center for the Study of Financial Institutions - Financial Institutions ; S-FI-02-09
Type of publication:	Book / Working Paper
Language:	English
Classification:	E58 - Central Banks and Their Policies ; F31 - Foreign Exchange ; G15 - International Financial Markets ; Management of financial services: stock exchange and bank management science (including saving banks) ; Monetary Policy ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)