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Journal Article
The practice of central bank intervention: looking under the hood
Neely, Christopher J. (2001-05)
This article first reviews methods of foreign exchange intervention and then presents evidence?focusing on survey results?on the mechanics of such intervention. Types of intervention, instruments, timing, amounts, motivation, secrecy, and perceptions of efficacy are discussed.
Review , Volume 83 , Issue May , Pages 1-10

Newsletter
Foreign exchange trading and settlement: past and present
McPartland, John (2006-02)
Since 1989, global foreign exchange turnover (and settlements) has more than tripled, to just over $2 trillion per day. This article expands upon a January 2005 Chicago Fed Letter that described broad clearing and settlement principles, and focuses more specifically on foreign exchange settlement practices, past and present.
Chicago Fed Letter , Issue Feb

Journal Article
Bank capital standards for foreign exchange and other market risks
Levonian, Mark E. (1994)
The Basle Committee on Banking Supervision has proposed methods for incorporating consideration of market risks--exchange rate, interest rate, and equity price risks--into risk-based capital standards for banks. This paper shows that the separate and seemingly different proposed approaches to the three sources of risk are consistent with one another, reflecting a single unifying theme. That theme is the measurement of risk through a weighting of two different measures of portfolio size, the gross position and the net position. A simple theoretical model demonstrates that such an approach ...
Economic Review

Working Paper
China’s monetary policy and the exchange rate
Sanchez-Fung, Jose R.; Mehrotra, Aaron (2010)
The paper models monetary policy in China using a hybrid McCallum-Taylor empirical reaction function. The feedback rule allows for reactions to inflation and output gaps, and to developments in a trade-weighted exchange rate gap measure. The investigation finds that monetary policy in China has, on average, accommodated inflationary developments. But exchange rate shocks do not significantly affect monetary policy behavior, and there is no evidence of a structural break in the estimated reaction function at the end of the strict dollar peg in July 2005. The paper also runs an exercise ...
Working Paper Series , Paper 2010-19

Conference Paper
Continuous linked settlement
Roscoe, David L. (1998)
Proceedings , Paper 576

Conference Paper
Foreign direct investment, trade, and real exchange rate linkages in developing countries
Goldberg, Linda S.; Klein, Michael W. (1996)
Proceedings

Journal Article
The discount rate, interest rates and foreign exchange rates: an analysis with daily data
Thornton, Daniel L.; Batten, Dallas S. (1985-02)
Review , Volume 67 , Issue Feb , Pages 22-30

Journal Article
An analysis of recent studies of the effect of foreign exchange intervention
Neely, Christopher J. (2005-11)
Two recent strands of research have contributed to our understanding of the effects of foreign exchange intervention: (i) the use of high-frequency data and (ii) 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.
Review , Volume 87 , Issue Nov

Journal Article
The global financial crisis and offshore dollar markets
Sarkar, Asani; Coffey, Niall; Hrung, Warren B.; Nguyen, Hoai-Luu (2009-10)
Facing a shortage of U.S. dollars and a growing need to support their dollar-denominated assets during the financial crisis, international firms increasingly turned to the foreign exchange swap market and other secured funding sources. An analysis of the ensuing strains in the swap market shows that the dollar "basis"--the premium international institutions pay for dollar funding--became persistently large and positive, chiefly as a result of the higher funding costs paid by smaller firms and non-U.S. banks. The widening of the basis underscores the severity and breadth of the crisis as ...
Current Issues in Economics and Finance , Volume 15 , Issue Oct

Working Paper
Foreign exchange intervention when interest rates are zero: does the portfolio balance channel matter after all?
Fatum, Rasmus (2010)
The Japanese zero-interest rate period provides a "natural experiment" for investigating the effectiveness and transmission channels of sterilized intervention when traditional monetary policy options are constrained. This paper takes advantage of the fact that all interventions in the JPY/USD market during the zero-interest rate period are sterilized sales of JPY and, therefore, none of these interventions can signal a future interest rate decrease. In order to further assess through which transmission channel these interventions work, the analysis integrates official daily Japanese ...
Globalization Institute Working Papers , Paper 57

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