Foreign-exchange trading volume and Federal Reserve intervention

被引：16

作者：

Chaboud, A ^{[1
]}

LeBaron, B

机构：

[1] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA

[2] Brandeis Univ, Grad Sch Int Econ & Finance, Waltham, MA 02254 USA

来源：

JOURNAL OF FUTURES MARKETS | 2001年 / 21卷 / 09期

关键词：

D O I：

10.1002/fut.1904

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find a large positive correlation between daily trading volume in currency futures markets and foreign-exchange intervention by the Federal Reserve over the period 1979 to 1996. Neither contemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or not the intervention operation is publicly reported appears to be an important determinant of trading volume. (C) 2001 John Wiley & Sons, Inc.

引用

页码：851 / 860

页数：10

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