Central bank intervention and exchange rate volatility, its continuous and jump components
We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps.
Year of publication: |
2007
|
---|---|
Authors: | Beine, Michel ; Lahaye, Jérôme ; Laurent, Sébastien ; Neely, Christopher J. ; Palm, Franz C. |
Institutions: | Federal Reserve Bank of St. Louis |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Jumps, cojumps and macro announcements
Lahaye, Jérôme, (2007)
-
Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel, (2007)
-
Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel, (2007)
- More ...