Showing 1 – 5 of 5 results.
Curated
The Fed, Liquidity, and Credit Allocation (ICPSR 24563)
Released/updated on: 2013-06-14
Geographic coverage: United States
Time period: 1995-01-01--2008-11-30
The current financial turmoil has generated considerable discussion of liquidity. Moreover, it has been widely reported that the Federal Reserve played a major role in supplying liquidity to financial markets during this distressed time. This article describes two ways in which the Fed has supplied liquidity since late 2007. The first is traditional: The Fed supplies liquidity by providing credit through open market operations and by lending to depository institutions at the so-called discount window. The second is by enhancing the liquidity of portfolios of some institutions by replacing their less-liquid assets with more-liquid assets. The Fed has used the second approach since late 2007. Unlike several previous occasions, however, it began supplying liquidity in the first, more traditional way only recently in September 2008. This article notes that the Fed departed from its long-standing tradition of minimizing its effect on the allocation of credit by supplying liquidity to institutions that it believed to be most in need, at the same time, it neutralized the effects of these actions on the total supply of liquidity in the financial market. The article also discusses the Fed's reasons for reallocating credit this time rather than simply increasing the total supply of financial market liquidity.
Curated
Analysis of Recent Studies of the Effect of Foreign Exchange Interventions (ICPSR 1321)
Released/updated on: 2005-11-28
Two recent strands of research have contributed to our understanding of the effects of foreign exchange intervention: (1) the use of high-frequency data and (2) the use of event studies to evaluate the effects of intervention. This article surveys recent empirical studies of the effect of foreign exchange intervention and analyzes the implicit assumptions and limitations of such work. After explicitly detailing such drawbacks, the paper suggests ways to better investigate the effects of intervention.
Curated
Do Changes in Reserves Proxy Well for Official Intervention? (ICPSR 1229)
Released/updated on: 2000-12-06
Geographic coverage: United States, Switzerland, Germany, Global
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.
Curated
Technical Analysis and the Profitability of United States Foreign Exchange Intervention (ICPSR 1193)
Released/updated on: 1999-04-30
These data reconcile an apparent contradiction found by recent research on United States intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) show that extrapolative technical trading rules trade against United States foreign exchange intervention and produce excess returns during intervention periods. Leahy (1995) shows that United States intervention itself is profitable over long periods of time. In other words, technical traders make excess returns when they take positions contrary to United States intervention. United States intervention itself is profitable, however.
Curated
Technical Analysis in the Foreign Exchange Market: A Layman's Guide (ICPSR 1177)
Released/updated on: 1998-10-06
Economists have traditionally been skeptical of the value of technical analysis, the use of past price behavior to guide trading decisions in asset markets. Instead, they have relied on the logic of the efficient markets hypothesis. This research briefly explains the fundamentals of technical analysis and the efficient markets hypothesis as applied to the foreign exchange market, evaluates the profitability of simple trading rules, and reviews recent ideas that might justify extrapolative technical analysis.