vinced that intervention is effective in changing the exchange rate.1 Recently two phenomena have advanced our understanding of intervention. The first is the use of event studies to evaluate the effects of intervention. Generically, an event study is an examination of asset price behavior associated with some event, such as a merger, announcement, or intervention. Event studies are used to ass...

Foreign exchange intervention (FXI) is a highly debated topic. Yet, comprehensive and comparable data on FXI hard to find. This paper provides new dataset of covering large number countries over the period 2000-20 at monthly quarterly frequencies. It includes publicly available for about 40 carefully constructed proxies 122 countries. Proxies are focused both spot derivative transactions that a...

Microstructure models of foreign exchange markets emphasize two different channels of pressure in pricing dynamics; these are inventory and asymmetric information effects. Past empirical studies for foreign exchange markets have found evidence supporting the existence of both effects in the Dollar/DM market. This paper tests for the presence of within sample variation in the intensity of these ...

This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka during the recent float using six bilateral exchange rates. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using co-integration, Granger causality tests and variance decomposition analysis. Results indicate that the Sri Lankan foreign exchange mar...

We model an impulse control problem when the controller’s action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank’s interventions. Published by Elsevier B.V.

We report some findings from a survey of practitioners in the interbank foreign exchange markets in Hong Kong, Tokyo, and Singapore. The respondents contend that liquidity and market uncertainty are two important reasons for deviating from the conventional interbank bid-ask spread. A strong customer base is perceived as a source of competitive advantage for large participants. Most respondents ...