The intraday effects of central bank intervention on exchange rate spreads

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

The intraday effects of central bank intervention on exchange rate spreads. / Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman.

In: Journal of International Money and Finance, Vol. 33, 03.2013, p. 103-117.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Fatum, R, Pedersen, J & Sørensen, PN 2013, 'The intraday effects of central bank intervention on exchange rate spreads', Journal of International Money and Finance, vol. 33, pp. 103-117. https://doi.org/10.1016/j.jimonfin.2012.10.006

APA

Fatum, R., Pedersen, J., & Sørensen, P. N. (2013). The intraday effects of central bank intervention on exchange rate spreads. Journal of International Money and Finance, 33, 103-117. https://doi.org/10.1016/j.jimonfin.2012.10.006

Vancouver

Fatum R, Pedersen J, Sørensen PN. The intraday effects of central bank intervention on exchange rate spreads. Journal of International Money and Finance. 2013 Mar;33:103-117. https://doi.org/10.1016/j.jimonfin.2012.10.006

Author

Fatum, Rasmus ; Pedersen, Jesper ; Sørensen, Peter Norman. / The intraday effects of central bank intervention on exchange rate spreads. In: Journal of International Money and Finance. 2013 ; Vol. 33. pp. 103-117.

Bibtex

@article{7fd8f1da594a40b983a25de027a2c8d4,
title = "The intraday effects of central bank intervention on exchange rate spreads",
abstract = "We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty",
keywords = "Foreign exchange intervention, ERM II, Exchange rate spreads, Intraday data",
author = "Rasmus Fatum and Jesper Pedersen and S{\o}rensen, {Peter Norman}",
note = "JEL classifications: E58; F31; G15",
year = "2013",
month = mar,
doi = "10.1016/j.jimonfin.2012.10.006",
language = "English",
volume = "33",
pages = "103--117",
journal = "Journal of International Money and Finance",
issn = "0261-5606",
publisher = "Pergamon Press",

}

RIS

TY - JOUR

T1 - The intraday effects of central bank intervention on exchange rate spreads

AU - Fatum, Rasmus

AU - Pedersen, Jesper

AU - Sørensen, Peter Norman

N1 - JEL classifications: E58; F31; G15

PY - 2013/3

Y1 - 2013/3

N2 - We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty

AB - We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty

KW - Foreign exchange intervention

KW - ERM II

KW - Exchange rate spreads

KW - Intraday data

U2 - 10.1016/j.jimonfin.2012.10.006

DO - 10.1016/j.jimonfin.2012.10.006

M3 - Journal article

VL - 33

SP - 103

EP - 117

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

SN - 0261-5606

ER -

ID: 97142021