Central bank intervention in foreign exchange markets is a common tool to influence exchange rates. Although central bankers are convinced of their policy's effectiveness, econometric estimates of precise effects differ across studies. The difficulties with estimations mostly result from a lack of adequate data. This article highlights different econometric approaches that aim to mitigate estimation problems. Techniques comprise control and matching approaches, event studies, as well as the use and imputation of high-frequency data. Their comparison reveals a trade-off between clear identification of the effect and establishing its validity over a sustained period.