search query: @author Baillie, R. / total: 4
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| Author: | Baillie, R. Osterberg, W. |
| Title: | Central bank intervention and risk in the forward market |
| Journal: | Journal of International Economics
1997 : NOV, VOL. 43:3/4, p. 483-498 |
| Index terms: | ECONOMICS CENTRAL BANKS RISK |
| Language: | eng |
| Abstract: | A two country inter-temporal asset pricing model is developed which implies that central bank foreign exchange intervention affects the forward exchange risk premium. The model is estimated from daily foreign exchange intervention data for the US, German and Japanese central banks. Considerable empirical cupport is found for the theoretical model with intervention influencing the risk premium in the forward market. Purchases of dollars by the Federal Reserve bank are found to be associated with excess $ denominated returns. |
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