Price Clustering in the FX Market: A Disaggregate Analysis using Central Bank Interventions*

Price clustering is a well-documented regularity of foreign exchange transactions. In this paper, I present new empirical results of price clustering for central bank interventions. The empirical analysis for Swiss interventions uses a disaggregate approach. The most important determinants for Swiss National Bank (SNB) transactions are bank size and transaction volume. A further feature of the price clustering of SNB transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the dealer market. No single hypothesis of price clustering is able to account for the empirical results.