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. (...)
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