Speculative Positioning Around Episodes of Central Bank Intervention: Evidence from the Yen/Dollar Market

33 Pages Posted: 27 Nov 2010 Last revised: 11 Feb 2011

See all articles by Marian Micu

Marian Micu

Swiss Re

Pavlin Savov

University of California, Berkeley - Haas School of Business

Sandeep Bhutani

University of California, Berkeley - Haas School of Business

Date Written: November 22, 2010

Abstract

This paper examines the central bank intervention in the yen/dollar market and its influence on the foreign exchange traders' speculative positions. We observe that speculators predominantly take up the opposite side of the transaction to the central bank. They appear to increase their relative yen positions when central banks sell yen and lower them when they buy yen. Our results indicate that interventions are more successful when speculators act with the central bank but generally ineffective when they take the other side of the transaction.

Keywords: Exchange Rate Intervention, Speculative Positions

JEL Classification: F31, G15

Suggested Citation

Micu, Marian and Savov, Pavlin and Bhutani, Sandeep, Speculative Positioning Around Episodes of Central Bank Intervention: Evidence from the Yen/Dollar Market (November 22, 2010). Available at SSRN: https://ssrn.com/abstract=1715783 or http://dx.doi.org/10.2139/ssrn.1715783

Marian Micu (Contact Author)

Swiss Re ( email )

Mythenquai 50
Zurich, ZH 8022
Switzerland

Pavlin Savov

University of California, Berkeley - Haas School of Business ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

Sandeep Bhutani

University of California, Berkeley - Haas School of Business ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

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