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Do Changes in Reserves Proxy Well for Official Intervention? (ICPSR 1229)
Principal Investigator(s): Neely, Christopher J., Federal Reserve Bank of St. Louis
The study of foreign exchange intervention has been slowed by the traditional reluctance of central banks to release intervention data to researchers. To circumvent the lack of actual intervention data, researchers often have used publicly available foreign exchange reserves data to proxy for the confidential intervention data. Little research has been done, however, to compare the characteristics of reserves and intervention. In this article, the author addresses that issue by using time-series techniques and measures of correlation to compare American, Swiss, and German monthly intervention and reserves series. Although the raw correlations are modest, ranging from about 0.12 to 0.42, some simple adjustments for seasonality and ERM realignments can increase the correlations in the Swiss and German data. More sophisticated adjustment techniques would be difficult and time-consuming.
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Neely, Christopher J. Do Changes in Reserves Proxy Well for Official Intervention?. ICPSR01229-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2000-12-06. http://doi.org/10.3886/ICPSR01229.v1
Persistent URL: http://doi.org/10.3886/ICPSR01229.v1
Scope of Study
Data Collection Notes:
(1) The file submitted, 0009cn.zip, contains program and description files. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator if further information is desired.
Original ICPSR Release: 2000-12-06
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