Working Paper

Systematic Intervention and Currency Risk Premia

SSRN Working Paper, Revise and resubmit at Journal of International Economics

Using data for the trades of 19 central banks intervening in currency markets, we show that stabilization policies by individual central banks lead to "systematic intervention" patterns. This systematic intervention is driven by and impacts on the same factors that drive currency excess returns: carry, momentum, value, and a dollar factor. The sensitivity of an individual central bank's intervention to these factors differs markedly across countries, with developed countries making a profit from intervention and emerging markets incurring large losses.


Publication Date
JEL Classification
F31, G10, G12