Technical Trading Rule Profitability and Foreign Exchange Intervention / Blake LeBaron.

Format:

Book

Author/Creator:

LeBaron, Blake.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w5505.

NBER working paper series no. w5505

Language:

English

Subjects (All):

Industrial productivity.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1996.

Cambridge, Mass. : National Bureau of Economic Research, 1996.

Summary:

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.

Notes:

Print version record

March 1996.