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dc.contributor.authorMelvin, Michaelen
dc.contributor.authorMenkhoff, Lukasen
dc.contributor.authorSchmeling, Maiken
dc.date.accessioned2009-06-30-
dc.date.accessioned2010-05-14T08:20:13Z-
dc.date.available2010-05-14T08:20:13Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2656en
dc.subject.jelF39en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordexchange ratesen
dc.subject.keywordinterventionen
dc.subject.keywordmicrostructureen
dc.subject.stwWechselkurspolitiken
dc.subject.stwStufenflexibilitäten
dc.subject.stwDevisenmarkten
dc.subject.stwBörsen-Informationssystemen
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwAufstrebende Märkteen
dc.subject.stwRusslanden
dc.titleExchange rate management in emerging markets : intervention via an electronic limit order book-
dc.typeWorking Paperen
dc.identifier.ppn60335694Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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