Abstract
This paper extends genetic programming techniques to
show that US foreign exchange intervention information
improves technical trading rules' profitability for two
of four exchange rates over part of the out-of-sample
period. Rules trade contrary to intervention and are
unusually profitable on days prior to intervention,
indicating that intervention is intended to halt
predictable trends. Intervention seems to be more
successful in checking such trends in the out-of-sample
(1981-98) period than in the in-sample (1975-80)
period. Any improvement in performance results from
more precise estimation of the relationship between
current and past exchange rates, rather than from
information about contemporaneous intervention.
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