Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data

Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data

This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate over the 1995–1998 period. Using an event study methodology and different criteria for effectiveness, some evidence that intervention was systematically associated with both a change in the di...

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Veröffentlicht in:Journal of international money and finance 2008-04, Vol.27 (3), p.438-454
1. Verfasser: Fatum, Rasmus
Format: Artikel
Sprache:eng
Schlagworte:
Bank of Canada
Canada
Central banks
Currency co-movement
Dollar
Event studies
Exchange market
Exchange rates
Foreign exchange
Foreign exchange intervention
Monetary policy
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description This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate over the 1995–1998 period. Using an event study methodology and different criteria for effectiveness, some evidence that intervention was systematically associated with both a change in the direction and a smoothing of the exchange rate is presented. The results of the analysis, however, do not suggest that Bank of Canada intervention succeeded in reducing the volatility of the CAD/USD exchange rate. Furthermore, the paper shows that the effects of intervention are weakened when adjusting for general currency co-movements against the USD.
doi_str_mv 10.1016/j.jimonfin.2008.01.003
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source RePEc; Elsevier ScienceDirect Journals Complete
subjects Bank of Canada
Canada
Central banks
Currency co-movement
Dollar
Event studies
Exchange market
Exchange rates
Foreign exchange
Foreign exchange intervention
Monetary policy
title Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data
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