Ano: 2010
Código: WPE – 212
Autores/Pesquisadores:
- Rodrigo da Rosa Borges
- José Luiz Rossi Júnior
Abstract:
This paper analyzes using the average of the daily returns generated by a simple trading rule whether Central Bank foreign exchange interventions introduce any kind of predictability in the foreign exchange market. The results indicate that when periods with foreign exchange intervention are included in the sample the returns of the strategy
are positive and statistically significant. Yet, when the days where official interventions took place are removed from the sample, the returns fall and are not statistically different from zero anymore. The results suggest that the official interventions do introduce predictability in the foreign exchange market that can be identified by a simple trading rule.