Working Paper: CEPR ID: DP1864
Authors: Andreas M. Fischer; Mathias Zurlinden
Abstract: The intra-daily efficacy of interventions by the Swiss National Bank (SNB) is examined for the 1986?94 period. The paper extends results from earlier studies because it uses the actual intervention exchange rates and all SNB interventions are known to the market. Our test of the signalling hypothesis, which distinguishes between interventions and customer transactions, is similar in spirit to US studies that exploit the informational differences between reported and unreported interventions. A key finding is that only initial interventions matter; customer transactions and subsequent interventions have no influence.
Keywords: exchange rate intervention; signaling hypothesis
JEL Codes: E52; E58
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| SNB interventions (F31) | exchange rate movements (F31) |
| initial interventions (Y20) | exchange rate movements (F31) |
| subsequent interventions (Y80) | exchange rate movements (F31) |
| customer transactions (L14) | exchange rate movements (F31) |
| initial interventions (Y20) | market expectations (D84) |
| announced interventions (O35) | market perceptions (G14) |