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| Author: | Neely, C. J. |
| Title: | The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits |
| Journal: | Journal of International Economics
2002 : OCT, VOL. 58:1, p. 211-232 |
| Index terms: | International trade Exchange rates Financial market trading |
| Language: | eng |
| Abstract: | The paper characterizes the temporal pattern of trading rule returns and official intervention for Australian, German, Swiss and U.S. data to investigate whether intervention generates technical trading rule profits. The data reject the hypothesis that intervention generates inefficiencies from which technical rules profit. In particular, hih frequency data show that abnormally high trading rule returns precede German, Swiss and U.S. intervention. Australian intervention precedes high trading rule returns, but trading/intervention patterns make it implausible that intervention actually generates those returns. |
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