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| Author: | LeBaron, B. |
| Title: | Technical trading rule profitability and foreign exchange intervention |
| Journal: | Journal of International Economics
1999 : OCT, VOL. 49:1, p. 125-143 |
| Index terms: | ECONOMICS PROFITABILITY FOREIGN EXCHANGE |
| Language: | eng |
| Abstract: | There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. |
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