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dc.contributor.authorMelvin, Michaelen_US
dc.contributor.authorMenkhoff, Lukasen_US
dc.contributor.authorSchmeling, Maiken_US
dc.date.accessioned2009-06-30en_US
dc.date.accessioned2010-05-14T08:20:13Z-
dc.date.available2010-05-14T08:20:13Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/30491-
dc.description.abstractThis paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We also show for intraday data that the price impact of interbank order flow is smaller on intervention days than on non-intervention days. These stabilizing effects, however, rely on the conditions of large currency reserves and the existence of capital controls; an electronic market seems to support this goal.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2656en_US
dc.subject.jelF39en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordinterventionen_US
dc.subject.keywordmicrostructureen_US
dc.subject.stwWechselkurspolitiken_US
dc.subject.stwStufenflexibilitäten_US
dc.subject.stwDevisenmarkten_US
dc.subject.stwBörsen-Informationssystemen_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwRusslanden_US
dc.titleExchange rate management in emerging markets : intervention via an electronic limit order booken_US
dc.typeWorking Paperen_US
dc.identifier.ppn60335694Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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