Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81913
Authors: 
Humpage, Owen F.
Ragnartz, Javiera
Year of Publication: 
2006
Series/Report no.: 
Sveriges Riksbank Working Paper Series 192
Abstract: 
Using a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater - and usually substantially smaller - than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.
Subjects: 
Intervention
Foreign-exchange rates
Swedish Riksbank
Krona
JEL: 
F3
G15
Document Type: 
Working Paper

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