Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/128027 
Year of Publication: 
2004
Series/Report no.: 
Working Paper No. 04.04
Publisher: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Abstract: 
Price clustering is a well-documented regularity of foreign exchange transactions. In this paper, I present new empirical evidence of price clustering for central bank interventions. A feature of the price clustering in Swiss National Bank (SNB) transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the dealer market. The empirical analysis for Swiss interventions uses a disaggregate approach to test the hypothesis whether intervention strategy matters. The most important determinants of price clustering are bank size and transaction volume. While the regression evidence for customer transactions is consistent with the efficiency hypothesis, the clustering results for intervention trades are not influenced by the SNB's intervention tactics.
Subjects: 
Central Bank Interventions
Intervention Strategy
Clustering
JEL: 
E31
E33
Document Type: 
Working Paper

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