A transaction level study of the effects of central bank intervention on exchange rates

By Richard Payne, Paolo Vitale. 2003

145 citations recorded by the source corpus.

Citations in the corpus

The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries: Evidence from the Czech Koruna (2007, unknown): “…the literature on the microstructure of exchange rate intervention is substantial with the broad conclusion being that central banks’ intervention has significant impact on the first two moments of the exchange rate (eg Evans and Lyons (2001), Dominguez (2003), and Payne and Vitale (2003)).”
High-Frequency Analysis of Foreign Exchange Interventions: What Do We Learn? (2010, unknown): “The effect of interventions on returns has been further investigated by Payne and Vitale (2003), who add another year to the data (see Table 3 for an overview of intervention studies based on transaction data).”
When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006, unknown): “Fischer and Zurlinden (1999), Fischer (2003), Pasquariello (in press), Payne and Vitale (2003), and Panthaki (2005) all examine different aspects of the SNB data and generally find evidence of significant lead and impact effects of interventions on Swiss Franc returns and volatility.”
An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention (2005, unknown): “Payne and Vitale (2003) use exchange rate data sampled at 15-minute intervals to quantify the effects of intervention operations on the U.S. dollar/Swiss franc (USD/CHF) rate.”