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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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Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects
Fatum, Rasmus; Hutchison, Michael M. - Economic Policy Research Unit (EPRU), Økonomisk Institut - 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/10005818497
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Evaluating Foreign Exchange Market Intervention: Self-selection, Counterfactuals and Average Treatment Effects
Fatum, Rasmus; Hutchison, Michael M. - Hong Kong Institute for Monetary Research (HKIMR), … - 2008
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/10005558125
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Evaluating foreign exchange market intervention : self-selection, counterfactuals and average treatment effects
Fatum, Rasmus; Hutchison, Michael M. - 2006
2004. -- Foreign exchange intervention ; Bank of Japan ; self-selection ; matching methods … 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/10003855360
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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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The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2003
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/10010260629
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous …
Persistent link: https://www.econbiz.de/10011604696
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Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data
Fatum, Rasmus - 2005
This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate market over the January 1995 to September 1998 period. Using an event study methodology and different criteria for effectiveness, movements in the CAD/USD exchange rate over the 1 through...
Persistent link: https://www.econbiz.de/10010320898
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Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data
Fatum, Rasmus; King, Michael R. - 2005
This paper analyzes official, high-frequency Bank of Canada intervention and exchange rate data (the latter quoted at the end of every 5-minute interval over every 24-hour period) over the January 1995 to September 1998 time-period. The data is of particular interest as it spans over two...
Persistent link: https://www.econbiz.de/10010320909
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Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent?
Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - 2010
This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to...
Persistent link: https://www.econbiz.de/10011558470