haku: @author Sweeney, R. / yhteensä: 2
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| Tekijä: | Sweeney, R. |
| Otsikko: | Do central banks lose on foreign-exchange intervention? A review article |
| Lehti: | Journal of Banking and Finance
1997 : DEC, VOL. 21:11, 12, p. 1667-1684 |
| Asiasana: | FINANCE BANKING CENTRAL BANKS |
| Kieli: | eng |
| Tiivistelmä: | Estimates of central bank intervention losses or profits vary greatly; some estimates find substantial losses, others profits. In most cases, estimated profits are not risk-adjusted, and risk-adjustment can have large effects. Furthermore, profit estimates involve variables integrated of order one, and because of this test-statistics may have nonstandard distributions; few studies take this into account. Estimates of risk-adjusted profits for the US Fed and the Swedish Riksbank, with allowances for possible nonstandard distributions, suggest that neither made losses and might have made significant profits. |
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