Technical Trading Rule Profitability and Foreign Exchange Intervention

17 Pages Posted: 22 Jun 1995

See all articles by Blake LeBaron

Blake LeBaron

Brandeis University - International Business School

Multiple version iconThere are 3 versions of this paper

Date Written: March 1996

Abstract

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.

JEL Classification: F31

Suggested Citation

LeBaron, Blake D., Technical Trading Rule Profitability and Foreign Exchange Intervention (March 1996). NBER Working Paper 5505. Available at SSRN: https://ssrn.com/abstract=1105 or http://dx.doi.org/10.2139/ssrn.1105

Blake D. LeBaron (Contact Author)

Brandeis University - International Business School ( email )

Mailstop 32
Waltham, MA 02454-9110
United States
781-736-2258 (Phone)
781-736-2269 (Fax)

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