Michael P. Leahy's research while affiliated with Board of Governors of the Federal Reserve System and other places
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Publications (3)
This article analyzes official reserve-holding behavior in EU countries to assess the effect EMU might have on holdings of dollar reserves. Based on earlier research and new estimates, a wide range of projections is presented for the effect of EMU on the overall demand for reserves and their currency composition. It is argued that official dollar h...
We use exchange traded options on Canadian dollar futures to estimate the market's risk-neutral distribution for the Canadian dollar in the days before and after the Quebec sovereignty referendum. We employ a relatively new technique that places little a priori structure on the estimated distribution. This lack of structure allows the estimated dis...
Using a formula for intervention profits in which profitability measured as of date T depends on how well intervention operations predict ex post deviations from interest parity, this paper shows that US intervention since the beginning of generalized floating in 1973 has earned profits for the US monetary authorities. Fundamental explanations for...
Citations
... However, it is well known that FX reserves can be a poor proxy for intervention flows (e.g., Sarno and Taylor, 2001), and therefore knowledge of the actual, realized costs of intervention is largely anecdotal or limited to short sample periods and individual developed countries (e.g. Leahy, 1995). 12 To compute profits, we compute the total excess return to holding the cumulative amount of USD (which can be positive or negative) for each central bank and we also split up the total return into the component due to exchange rate changes and interest rate differentials. ...
... The implications for the global position of the dollar caused by the introduction of single European currency were also discussed at this early stage by Leahy (1994), Johnson (1994) and Edision and Cole (1994). They concluded that the single currency would not be a challenge to the dollar in the foreseeable future. ...
... A number of studies have used implied pdfs to examine how markets anticipated or reacted to major events. Leahy and Thomas (1996) studied the behaviour of the Canadian dollar before and after the Quebec sovereignty referendum using a mixture of both two and three lognormal distributions. They found that in the run-up to the vote uncertainty about the Canadian dollar increased significantly and in particular, on the day just before the referendum, the distribution was trimodal. ...
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