ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention

Fatum, Rasmus; Hutchison, Michael M.

doi:10.2139/ssrn.304519

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ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention

UCSC International Economics Working Paper No. 02-3

23 Pages Posted: 26 Mar 2002

See all articles by Rasmus Fatum

Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law

Michael M. Hutchison

University of California, Santa Cruz - Department of Economics

Date Written: February 22, 2002

Abstract

Using a unique intervention "news" data set, this paper investigates the impact of ECB intervention and intervention-related "news" (newswire reports) on the euro exchange rate. A time-series study of "news" generated by ECB officials and market participants regarding intervention and the value of the euro as well as an event study of firm reports of ECB intervention is conducted. Both studies find significant short-run effects on the euro value, while only "negative" statements (official statements denying past intervention or ruling out future intervention) appear to have persistent effects.

Keywords: foreign exchange market intervention, the euro, central bank intervention

JEL Classification: F31, F33, F42, G15

Suggested Citation: Suggested Citation

Fatum, Rasmus and Hutchison, Michael M., ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention (February 22, 2002). UCSC International Economics Working Paper No. 02-3, Available at SSRN: https://ssrn.com/abstract=304519 or http://dx.doi.org/10.2139/ssrn.304519