I estimate a two-equation system on the Czech koruna-euro exchange rate and order flow at hourly frequency within the framework of Evans-Lyons (JME 2002). I use transactions data from the Reuters Spot Matching market in the second half of 2002, during which the Czech National Bank conducted discreet interventions to stem the appreciation of the domestic currency. I find a significant impact of order flow on the exchange rate, equal on average to 7.6 basis points per €10 million, of which 80 per cent persists throughout the day. The news of intervention increases the price impact of order flow by 3.9 basis points per €10 million, consistently with the notion of intervention efficacy. The order flow equation yields inconclusive results.
Published in 2008 in: Journal of International Money and Finance, v. 27, 4, pp. 529-546
