This paper addresses whether exchange rates respond to changes in expectations of future U.S. monetary policy when no actual monetary policy changes occur. We employ data on Federal funds futures contracts for extracting a measure of policy expectations, control for the surprise element of...

We use non-temporal threshold analysis to investigate the exchange rate effects of large versus small interventions. More than two decades of official daily data on intervention in the JPY/USD market facilitate our analysis. We find no evidence that small interventions exert a discernible...

We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention...

This paper investigates the possible asymmetric response of 5-min intraday JPY/USD exchange rates to macroeconomic news announcements during 1999–2006 when the Japanese money market interest rate was effectively zero. This period provides a unique institutional setting when interest rates may...

This paper investigates the real-time effects of sterilized foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Our analysis employs a two-step weighted least squares estimation procedure. We control for macro surprises, address the issue...

Japanese official intervention in the foreign exchange market is of by far the largest magnitude in the world, despite little or no evidence that it is effective in moving exchange rates. This paper investigates the effectiveness of intervention using recently published Japanese official daily...

Using a unique intervention “news†data set, this paper investigates the impact of ECB intervention and intervention-related news (newswire reports) on the Euro exchange rate. A time-series study of news generated by ECB officials and market participants regarding intervention and the...

Estimating the effect of official foreign exchange market intervention is complicated by the fact that intervention at any point entails a "self-selection" choice made by the authorities and that no counterfactual is observed. To address these issues, we estimate the "counterfactual" exchange...