The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits |
| |
Authors: | Christopher J Neely |
| |
Institution: | Research Department, Federal Reserve Bank of St. Louis, 411 Locust Street, St. Louis, MO 63102, USA |
| |
Abstract: | This paper characterizes the temporal pattern of trading rule returns and official intervention for Australian, German, Swiss and U.S. data to investigate whether intervention generates technical trading rule profits. The data reject the hypothesis that intervention generates inefficiencies from which technical rules profit. In particular, high frequency data show that abnormally high trading rule returns precede German, Swiss and U.S. intervention. Australian intervention precedes high trading rule returns, but trading/intervention patterns make it implausible that intervention actually generates those returns. Rather, intervention responds to exchange rate trends from which trading rules have recently profited. |
| |
Keywords: | Technical analysis Trading rule Intervention Exchange rate Central bank |
本文献已被 ScienceDirect 等数据库收录! |
|