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Technical Analysis and the Profitability of United States Foreign Exchange Intervention [electronic resource]

Christopher J. Neely
Format
Computer Resource; Online
Published
Ann Arbor, Mich. Inter-university Consortium for Political and Social Research [distributor] 1999
Edition
1999-04-30
Series
ICPSR
ICPSR (Series)
Access Restriction
AVAILABLE. This study is freely available to the general public.
Abstract
These data reconcile an apparent contradiction found by recent research on United States intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) show that extrapolative technical trading rules trade against United States foreign exchange intervention and produce excess returns during intervention periods. Leahy (1995) shows that United States intervention itself is profitable over long periods of time. In other words, technical traders make excess returns when they take positions contrary to United States intervention. United States intervention itself is profitable, however.Cf: http://doi.org/10.3886/ICPSR01193.v1
Contents
Dataset
Description
Mode of access: Intranet.
Notes
Title from ICPSR DDI metadata of 2016-02-11.
Series Statement
ICPSR 1193
ICPSR (Series) 1193
Other Forms
Also available as downloadable files.
Copyright Not EvaluatedCopyright Not Evaluated
Technical Details
  • Staff View

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    a| These data reconcile an apparent contradiction found by recent research on United States intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) show that extrapolative technical trading rules trade against United States foreign exchange intervention and produce excess returns during intervention periods. Leahy (1995) shows that United States intervention itself is profitable over long periods of time. In other words, technical traders make excess returns when they take positions contrary to United States intervention. United States intervention itself is profitable, however.Cf: http://doi.org/10.3886/ICPSR01193.v1
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