Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects
نویسندگان
چکیده
منابع مشابه
Market Microstructure Effects of Government Intervention in the Foreign Exchange Market
An asymmetric information model of the bid-ask spread is developed for foreign exchange market subject to occasional government interventions. Traditional tests of the unbiasedness of the forward rate as a predictor of the future spot rate are shown to be inconsistent when the rates are measured as the average of their respective bid and ask quotes. Larger bid-ask spreads on Fridays are documen...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.906811