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Autor:innen: 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
EHES Working Paper No. 188
Verlag: 
European Historical Economics Society (EHES), s.l.
Zusammenfassung: 
Few studies on foreign exchange intervention convincingly address the causal effect of intervention on exchange rates. By using a narrative approach, I address a major issue in the literature: the endogeneity of intraday news which influence the exchange rate alongside central bank operations. Some studies find that interventions work in up to 80% of cases. Yet, by accounting for intraday market moving news, I find that in adverse conditions, the Bank of England managed to influence the exchange rate only in 8% of cases. I use both machine learning and human assessment to confirm the validity of the narrative approach.
Schlagwörter: 
intervention
foreign exchange
natural language processing
central bank
Bank of England
JEL: 
F31
E5
N14
N24
Dokumentart: 
Working Paper

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