Technical Analysis and the Profitability of United States Foreign Exchange Intervention (ICPSR 1193)

Version Date: Apr 30, 1999

Cite this study |

Principal Investigator(s):
Christopher J. Neely, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01193.v1

Version V1

Slide tabs to view more

Summary

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.

Citation

Neely, Christopher J. Technical Analysis and the Profitability of United States Foreign Exchange Intervention. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 1999-04-30. https://doi.org/10.3886/ICPSR01193.v1

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote

Subject Terms

Distributor(s)

Inter-university Consortium for Political and Social Research
Hide

Data Collection Notes

  1. (1) The file submitted is 9807cn.exe, which unzips to 9807CN.ZIP, which contains readme.txt, allcbi.xls, leahy.xls, and bigexch.xls. The explanation for each Excel file is in readme.txt. (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(s) if further information is desired.

Hide

Original Release Date

1999-04-30

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:

  • Neely, Christopher J. Technical Analysis and the Profitability of United States Foreign Exchange Intervention. ICPSR01193-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 1999-04-30. http://doi.org/10.3886/ICPSR01193.v1

Hide

Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.