Our paper assesses progress made by the profession in understanding whether and how
exchange rate intervention works. We review theory and evidence on official intervention …

This paper explores the effects of foreign exchange intervention by central banks on the
behavior of exchange rates. The G-3 central banks have undertaken an unprecedented …

If an investor borrows in a low interest currency and invests in a high interest currency, the
interest differential accrues in a lumpy manner, formally just like the dividend payments on a …

Using a model incorporating the endogenous relationship between exchange rates and
intervention, we show how a change in central bank policy can be used as an identification …

In this paper, we investigate the effects of official interventions on the (short run) evolution
and volatility of exchange rates. To this aim, we rely on a new measure of volatility implied …

Using both semiparametric and parametric estimation methods, this paper corroborates
earlier findings of fractionally integrated behaviour in the forward premium. Two new …

Monetary authorities in the G3 economies have shifted in recent years towards
communication as their primary policy tool to influence exchange rates. The paper assesses …

This paper explores some of the asymmetries and nonlinearities in an attempt to throw light
on the forward premium anomaly, where spot exchange rate returns are typically found to be …

The salient characteristics of emerging market economies coupled with the increasing
adoption of inflation targeting in these countries has stimulated much debate about the role …

This paper surveys some important recent developments, which have the common theme of
interpreting intervention in terms of its effects on the flow of information. The article considers …