Real-time effects of central bank intervention in the euro market |
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Authors: | Rasmus Fatum Jesper Pedersen |
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Affiliation: | a School of Business, University of Alberta, Edmonton, Alberta, Canada T6G 2R6 b University of Copenhagen and Danmarks Nationalbank, DK-1093 Copenhagen K, Denmark |
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Abstract: | 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 of endogeneity, and carry out an array of robustness tests. Only when the direction of intervention is consistent with the monetary policy stance do we find that intervention exerts a significant influence on exchange rate returns. |
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Keywords: | D53 E58 F31 G15 |
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