Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26266
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dc.contributor.authorMelvin, Michaelen_US
dc.contributor.authorMenkhoff, Lukasen_US
dc.contributor.authorSchmeling, Maiken_US
dc.date.accessioned2008-02-28en_US
dc.date.accessioned2009-07-28T08:29:46Z-
dc.date.available2009-07-28T08:29:46Z-
dc.date.issued2008en_US
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_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper|x2221en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordforeign exchangeen_US
dc.subject.keywordmicrostructureen_US
dc.subject.keywordinterventionen_US
dc.subject.keywordexchange rateen_US
dc.subject.stwWechselkurspolitiken_US
dc.subject.stwBörsen-Informationssystemen_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwRusslanden_US
dc.titleAutomating exchange rate target zones: intervention via an electronic limit order booken_US
dc.type|aWorking Paperen_US
dc.identifier.ppn55908823Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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