Is sterilised foreign exchange intervention effective after all? an event study approach
用事件研究法分析德国央行和美国官方干预操作，发现冲销式干预在短期内系统性地影响汇率，且结果稳健。
This study provides evidence supporting the effectiveness of sterilised foreign exchange market intervention by central banks using an event study approach. An event study framework is better suited to the study of sporadic and intense periods of official intervention, juxtaposed with continuously changing exchange rates, than standard time‐series studies. Focusing on daily Bundesbank and US official intervention operations, we identify separate intervention 'episodes' and analyse the subsequent effect on the exchange rate. Using the non‐parametric sign test and matched‐sample test, we find strong evidence that sterilised intervention systemically affects the exchange rate in the short run. This result is robust to changes in event window definitions over the short run and to controlling for central bank interest rate changes during events.