Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247118 
Authors: 
Year of Publication: 
2020
Series/Report no.: 
EHES Working Paper No. 188
Publisher: 
European Historical Economics Society (EHES), s.l.
Abstract: 
Few studies on foreign exchange intervention convincingly address the causal effect of intervention on exchange rates. By using a narrative approach, I address a major issue in the literature: the endogeneity of intraday news which influence the exchange rate alongside central bank operations. Some studies find that interventions work in up to 80% of cases. Yet, by accounting for intraday market moving news, I find that in adverse conditions, the Bank of England managed to influence the exchange rate only in 8% of cases. I use both machine learning and human assessment to confirm the validity of the narrative approach.
Subjects: 
intervention
foreign exchange
natural language processing
central bank
Bank of England
JEL: 
F31
E5
N14
N24
Document Type: 
Working Paper

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