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The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection
Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004
We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the success of interventions varies over...
Persistent link: https://www.econbiz.de/10005556654
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The ECB and the Euro
Bénassy-Quéré, Agnès - In: La Lettre du CEPII (1999) 182
Persistent link: https://www.econbiz.de/10005607380
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Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility
Ai-ru (Meg) Cheng; Das, Kuntal; Shimatani, Takeshi - Department of Economics and Finance, College of … - 2013
This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on … that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility …. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short …
Persistent link: https://www.econbiz.de/10010907387
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The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience
Brandner, Peter; Grech, Harald; Stix, Helmut - Oesterreichische Nationalbank - 2001
We analyze the effectiveness of intervention in the European Monetary System by using daily data on the DEM-intervention activity of six European central banks, covering the period from August 1993 to April 1998. To test for the influence of intervention we apply EGARCH models. To allow for...
Persistent link: https://www.econbiz.de/10005802636
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Modelling Central Bank Intervention Activity under Inflation Targeting
Horvath, Roman - Volkswirtschaftliche Fakultät, … - 2006
Using daily data from the Czech Republic in 1/1/1998-31/12/2002, we find that foreign exchange intervention activity is determined by the degree of exchange rate misalignment and lagged intervention. Additionally, inflation targeting regime is a binding constraint of intervention activity.
Persistent link: https://www.econbiz.de/10005616697
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Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility
Cheng, Ai-ru; Das, Kuntal; Shimatani, Takeshi - In: Journal of Asian Economics 28 (2013) C, pp. 87-98
This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on … that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility …. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short …
Persistent link: https://www.econbiz.de/10010709132
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Does Central Bank Intervention Influence the Probability of a Speculative Attack? Evidence from the EMS
Stix, Helmut - Oesterreichische Nationalbank - 2002
This paper studies the effects of central bank intervention during the 1992- 1993 EMS crises on the D-mark/peseta and D-mark/French franc exchange rate. In particular, it is analyzed how interventions affected the probability of a speculative attack and market participants’ expectations about...
Persistent link: https://www.econbiz.de/10005839461
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Why did Central Banks Intervenein the EMS? The Post 1993 Experience
Brandner, Peter; Grech, Harald - Oesterreichische Nationalbank - 2002
In this paper, we present stylized facts of exchange rate and intervention behavior in the Exchange Rate Mechanism I (ERM I), in particular in light of the recent literature on multilateral target zone models. We estimate bilateral exchange rate distributions of the maximum spot rate deviations...
Persistent link: https://www.econbiz.de/10005839478
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The foreign exchange market interventions of the European Central Bank
Frenkel, M.; Pierdzionc, C.; Stadtmann, G. - In: BNL Quarterly Review 54 (2001) 218, pp. 249-287
We analyze the effectiveness of the foreign exchange market interventionsconducted by the European Central Bank (ECB) in the fall of 2000 to support the external stability of the euro. To this end, we discuss different channels through whichinterventions may influence exchange rate dynamics. We...
Persistent link: https://www.econbiz.de/10010753916
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The foreign exchange market interventions of the European Central Bank
Frenkel, M.; Pierdzionc, C.; Stadtmann, G. - In: Banca Nazionale del Lavoro Quarterly Review 54 (2001) 218, pp. 249-287
We analyze the effectiveness of the foreign exchange market interventionsconducted by the European Central Bank (ECB) in the fall of 2000 to support the external stability of the euro. To this end, we discuss different channels through whichinterventions may influence exchange rate dynamics. We...
Persistent link: https://www.econbiz.de/10010753927