Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices

Andreas M. Fischer · Mathias Zurlinden

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Abstract

The impact of sterilised interventions by the Swiss National Bank on the Swiss franc/U.S. dollar exchange rate is examined for the 1986–94 period. The paper extends results from earlier studies by using the actual prices of interventions. Based on the fact that all Swiss National Bank interventions are announced, our test exploits the informational differences between interventions and customer transactions. A key finding is that only initial interventions matter; customer transactions and subsequent interventions have no influence.

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References

1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 1993The Effectiveness of Central-Bank Intervention: A Survey of the Literature After 1982 1995Does foreign exchange intervention work?1996Does foreign exchange intervention signal future monetary policy?1997Intervention strategies and exchange rate volatility: a noise trading perspective

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