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Evaluating Foreign Exchange Market Intervention : Self-Selection, Counterfactuals and Average Treatment Effects
Fatum, Rasmus - 2013
propensity score matching to estimate the average treatment effect (ATE) of intervention. To derive the propensity scores we … intervention in Japan over the January 1999 to March 2004 period. This sample encompasses a remarkable variation in intervention …
Persistent link: https://www.econbiz.de/10012711695
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Evaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effects
Fatum, Rasmus; Hutchison, Michael M. - 2006
determine what would have occurred in the absence of intervention and we introduce the method of propensity score matching to … estimate the ATE for daily Bank of Japan intervention over the January 1999 to March 2004 period. This sample encompasses a …
Persistent link: https://www.econbiz.de/10010285321
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Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects
Fatum, Rasmus; Hutchison, Michael M. - 2006
determine what would have occurred in the absence of intervention and we introduce the method of propensity score matching to … estimate the ATE for daily Bank of Japan intervention over the January 1999 to March 2004 period. This sample encompasses a …
Persistent link: https://www.econbiz.de/10010320893
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Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10001683383
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Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10011431685
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Central Bank Intervention and Exchange Rate Expectations : Evidence from the Daily Dm/Us-Dollar Exchange Rate
Reitz, Stefan - 2016
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10012991271
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Foreign exchange interventions and their impact on expectations : evidence from the USD/ILS options market
Hertrich, Markus; Nathan, Daniel - 2022
Using confidential daily data, we analyse how the intervention episode of the Bank of Israel (BOI) from 2013 to 2019 has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that interventions amounting to US dollar (USD) 1 billion are...
Persistent link: https://www.econbiz.de/10013259481
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The Effects of Foreign Exchange Market Interventions of the Bank of Japan on the $/Yen Exchange Rate Volatility
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993 - 2000 that were …
Persistent link: https://www.econbiz.de/10014117200
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The Effectiveness of Central Bank Intervention through the Noise Trading Channel : Evidence from the Australian and the Japan Case
Abderrazak, Ben Maatoug - 2009
secret. We conduct an empirical study for the Reserve Bank of Australia (RBA) and the Bank of Japan (BoJ). The interventions …
Persistent link: https://www.econbiz.de/10013153364
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Central Bank Interventions and Implied Exchange Rate Correlations
Nikkinen, Jussi - 2011
This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante …
Persistent link: https://www.econbiz.de/10013131457