| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3111 |
| DP3111 Breakdown of Will and the Value of Information | |
| Achim Wambach; Astrid Kuehn | |
| 发表日期 | 2001-12-12 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We study the effects of sterilized intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transaction data between 1985-95.We extend preliminary analysis conducted by Fischer and Zurlinden (1999) by matching these data with intra-day indicative exchange ate quotes and with news-wire reports of central banks ?activity. Via an event study analysis we find that intervention has important short-run effects on exchange ate returns and volatility. In particular, among various results, we find that intervention i) has a stronger impact when the SNB moves with-the-market and when its activity is concerted with that of other central banks, ii) is partially anticipated by the market and iii) temporarily reduces market liquidity. |
| 主题 | International Macroeconomics |
| 关键词 | Sterilized intervention Foreign exchange market Market microstructure |
| URL | https://cepr.org/publications/dp3111 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532137 |
| 推荐引用方式 GB/T 7714 | Achim Wambach,Astrid Kuehn. DP3111 Breakdown of Will and the Value of Information. 2001. |
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