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dc.contributor.authorMelvin, Michaelen
dc.contributor.authorMenkhoff, Lukasen
dc.contributor.authorSchmeling, Maiken
dc.date.accessioned2008-02-28-
dc.date.accessioned2009-07-28T08:29:46Z-
dc.date.available2009-07-28T08:29:46Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/26266-
dc.description.abstractThis paper describes and analyzes automated intervention of a target zone. Unusually detailed information about the order book allows studying intervention effects in a microstructure approach. We find in 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. Finally, we reveal that informed banks take different positions than uninformed banks as they tend to trade against the central bank - which reflects a rational stance. Despite this position taking, the targeted exchange rate range holds and volatility, spread and price impact go down. Overall, the credible expression of an intervention band seems to achieve the desired effects of a target zone.en
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2221en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordforeign exchangeen
dc.subject.keywordmicrostructureen
dc.subject.keywordinterventionen
dc.subject.keywordexchange rateen
dc.subject.stwWechselkurspolitiken
dc.subject.stwBörsen-Informationssystemen
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwRusslanden
dc.titleAutomating exchange rate target zones: intervention via an electronic limit order book-
dc.typeWorking Paperen
dc.identifier.ppn55908823Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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