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Author:Galati, Gabriele 

Working Paper
Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide

A vast literature on the effects of sterilized intervention by the monetary authorities in the foreign exchange markets concludes that intervention systematically moves the spot exchange rate only if it is publicly announced, coordinated across countries, and consistent with the underlying stance of fiscal and monetary policy. Over the past fifteen years, researchers have also attempted to determine if intervention has any effects on the dispersion and directionality of market views concerning the future exchange rate. These studies usually focus on the variance around the expected future ...
Working Papers (Old Series) , Paper 0618

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