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Foreign‐Exchange Trading Volume and Federal Reserve Intervention
Author(s) -
Chaboud Alain,
LeBaron Blake
Publication year - 2001
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.1904
Subject(s) - futures contract , currency , foreign exchange , intervention (counseling) , volatility (finance) , economics , monetary economics , foreign exchange market , algorithmic trading , financial economics , volume (thermodynamics) , business , psychology , physics , quantum mechanics , psychiatry
We find a large positive correlation between daily trading volume in currency futures markets andforeign‐exchange intervention by the Federal Reserve over the period 1979 to 1996. Neithercontemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or notthe intervention operation is publicly reported appears to be an important determinant of trading volume. ©2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:851‒860, 2001