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The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection
Hillebrand, Eric T.; Schnabl, Gunther - 2003
/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention … effect on the same day, but at the cost of higher exchange rate volatility. Testing for the robustness of this finding we … unsuccessful and coincided with increased exchange rate volatility. Since 1999 official Japanese currency purchases seem to have …
Persistent link: https://www.econbiz.de/10014074708
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The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection
Hillebrand, Eric T.; Schnabl, Gunther - 2005
/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention … effect on the same day, but at the cost of higher exchange rate volatility. Testing for the robustness of this finding we … unsuccessful and coincided with increased exchange rate volatility. Since 1999 official Japanese currency purchases seem to have …
Persistent link: https://www.econbiz.de/10014067235
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A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility
Hillebrand, Eric T.; Schnabl, Gunther - 2021
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10013317566
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Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate : A Simultaneous Equations Approach Using Realized Volatility
Hillebrand, Eric T.; Schnabl, Gunther; Ulu, Yasemin - 2021
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …
Persistent link: https://www.econbiz.de/10013317518
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Mindestkurs für den Schweizer Franken: Gefährlicher Interventionismus der SNB?
Landmann, Oliver; Schnabl, Gunther; Iselin, David; … - In: Ifo Schnelldienst 64 (2011) 19, pp. 03-16
Die Schweiz ist in den vergangenen Monaten durch die drastische Aufwertung des Schweizer Franken gegenüber dem Euro unter Druck geraten. Im September 2011 verkündete deshalb die Schweizerische Nationalbank (SNB) einen Mindestkurs des Franken zum Euro. Mit einer Untergrenze von 1,20 Franken je...
Persistent link: https://www.econbiz.de/10009324122
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized. …
Persistent link: https://www.econbiz.de/10011604696
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Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …
Persistent link: https://www.econbiz.de/10010263952
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The evolution of the East Asian currency baskets: still undisclosed and changing
Schnabl, Gunther - 2006
Both before and after the Asian crisis, the dollar has been the dominant anchor and reserve currency in East Asia. Due to underdeveloped capital markets and the limited international role of their domestic currencies, the East Asian countries (except Japan) are likely to continue to stabilize...
Persistent link: https://www.econbiz.de/10010264038
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Mindestkurs für den Schweizer Franken: Gefährlicher Interventionismus der SNB?
Landmann, Oliver; Schnabl, Gunther; Iselin, David; … - In: ifo Schnelldienst 64 (2011) 19, pp. 3-16
Die Schweiz ist in den vergangenen Monaten durch die drastische Aufwertung des Schweizer Franken gegenüber dem Euro unter Druck geraten. Im September 2011 verkündete deshalb die Schweizerische Nationalbank (SNB) einen Mindestkurs des Franken zum Euro. Mit einer Untergrenze von 1,20 Franken je...
Persistent link: https://www.econbiz.de/10011693252
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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 … results for the impact of foreign exchange intervention on the yen/dollar exchange rate volatility are inconclusive. Sub … 1990s Japanese foreign exchange intervention seems to have increased the volatility of the yen/dollar exchange rate. In …
Persistent link: https://www.econbiz.de/10005556654