Scandinavian Working Papers in Economics

Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)

No 192: Swedish Intervention and the Krona Float, 1993-2002

Owen F. Humpage () and Javiera Ragnartz ()
Additional contact information
Owen F. Humpage: Research Department, Federal Reserve Bank of Cleveland, Postal: P.O. Box 6387 Cleveland, OH 44101-1387, USA
Javiera Ragnartz: Handelsbanken Asset Management, Postal: SE-106 70 Stockholm , Sweden

Abstract: Using a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater—and usually substantially smaller—than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.

Keywords: Intervention; Foreign-exchange rates; Swedish Riksbank; Krona

JEL-codes: F30; G15

40 pages, April 1, 2006

Full text files

wp_192.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Lena Löfgren ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-01-23 23:37:31.