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Intervention and the risk premium in foreign exchange rates

Author

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  • William P. Osterberg

Abstract

An analysis of how central-bank exchange-market intervention can affect both the level of exchange rates and the risk premium in asset returns, showing how the risk premium is related to the conditional variances of intervention and other exogenous processes.

Suggested Citation

  • William P. Osterberg, 1989. "Intervention and the risk premium in foreign exchange rates," Working Papers (Old Series) 8908, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:8908
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    Citations

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    Cited by:

    1. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Papers (Old Series) 9109, Federal Reserve Bank of Cleveland.
    2. Owen F. Humpage, 1991. "Central-bank intervention: recent literature, continuing controversy," Economic Review, Federal Reserve Bank of Cleveland, vol. 27(Q II), pages 12-26.
    3. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Papers (Old Series) 9823, Federal Reserve Bank of Cleveland.
    4. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
    5. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Papers (Old Series) 9207, Federal Reserve Bank of Cleveland.

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