The foreign-exchange costs of central bank intervention: evidence from Sweden

This study presents evidence on risk-adjusted profits for the Swedish centr al bank. Estimated profits can be quite sensitive as to whether rates of re turn are risk-adjusted or not, and how the risk-adjustment is done. Various ways of adjusting for abnormal returns, and extracting buy-sell signals, a re tried. Results, on daily data, support the view that Riksbank interventi on did not make risk-adjusted losses over the period 1986-1990. The results might be challenged as arising from inappropriate risk adjustment. (C) 200 1 Elsevier Science Ltd. All rights reserved.