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The Credibility of the United Kingdom's Commitment to the Erm : Intentions Versus Actions
Masson, Paul R. - 2008
The paper presents estimates of a model of the credibility of the U.K. commitment to its central parity against the … deutsche mark during the period of U.K. ERM membership (1990-92). The measure of credibility used is the long-term interest … differential with Germany. Credibility is decomposed into two aspects: an assessment of whether the government was truly committed …
Persistent link: https://www.econbiz.de/10012774281
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New Evidence on the Effectiveness of Foreign Exchange Market Intervention
Koedijk, Kees C. G. - 2008
This paper compares foreign exchange market intervention in case there is no uncertainty about the extent of an imperfectly sustainable target zone and where there is uncertainty. A well-known example of the first case was the European Monetary System between 1979 and 1992. An example of the...
Persistent link: https://www.econbiz.de/10012772552
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Foreign Exchange Intervention : A Dataset of Public Data and Proxies
Adler, Gustavo; Chang, Kyun Suk; Mano, Rui C.; Shao, Yuting - 2021
Foreign exchange intervention (FXI) is a highly debated topic. Yet, comprehensive and comparable data on FXI is hard to find. This paper provides a new dataset of FXI covering a large number of countries over the period 2000-20 at monthly and quarterly frequencies. It includes publicly available...
Persistent link: https://www.econbiz.de/10013226447
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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, and interventions without endogeneity bias. We find that...
Persistent link: https://www.econbiz.de/10013317518
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Do Options-Implied Rnd Functions on G3 Currencies Move Around the Times of Interventions on the Jpy/Usd Exchange Rate?
Castren, Olli - 2021
This paper focuses on changes in the currency options market's assessment of likely future exchange rate developments around the times of official interventions in the JPY/USD exchange rate. We estimate the options-implied risk-neutral density functions (RNDs) using daily OTC quotes for options...
Persistent link: https://www.econbiz.de/10013319012
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Exchange Rate Stabilization in the Erm : Identifying European Monetary Policy Reactions
Kim, Soyoung - 2001
The structural VAR models for European countries (France, Denmark, and Germany) are developed to examine the monetary policy reactions, especially the within-ERM exchange rate stabilization, during the ERM period. First, impulse responses of monetary instrument and the exchange rate to shocks...
Persistent link: https://www.econbiz.de/10014139848
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Further Evidence on Implicit Bands in the Yen/Dollar Exchange Rate
Ledesma Rodríguez, Francisco; Navarro Ibáñez, Manuel; … - 2006
-December 1980 and March-December 1987, the latter coinciding with the Louvre Accord. Furthermore, the study of the credibility of …
Persistent link: https://www.econbiz.de/10014057289
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Implicit Bands in the Yen/Dollar Exchange Rate
Ledesma Rodríguez, Francisco; Navarro Ibáñez, Manuel; … - 2005
-December 1980 and March-December 1987, the latter coinciding with the Louvre Accord. Furthermore, the study of the credibility of …
Persistent link: https://www.econbiz.de/10014067745
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The Effects of Foreign Exchange Market Interventions of the Bank of Japan on the $/Yen Exchange Rate Volatility
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
Previous studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993 - 2000 that were released only recently by the BoJ and find that...
Persistent link: https://www.econbiz.de/10014117200
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Identifying the Effects of Central Bank Intervention
Neely, Christopher J. - 2005
Most intervention studies have been silent on the assumed structure of the economic system - implicitly imposing implausible assumptions - despite the fact that inference depends crucially on such issues. This paper proposes to identify the cross-effects of intervention with the level and...
Persistent link: https://www.econbiz.de/10014063552