Academic literature on foreign exchange market intervention in emerging market countries has grown in recent years. Until now, existing studies have ignored the possible feature of time varying motives and impact effects for/of interventions as well as the relationship to underlying economic and...

Academic literature on foreign exchange market intervention in emerging market countries has grown in recent years. Until now, existing studies have ignored the possible feature of time varying motives and impact effects for/of interventions as well as the relationship to underlying economic and...

In this work, assuming as a model the Multifractional Processes with Random Exponent (MPRE), we propose a simulation algorithm able to replicate financial time series, specifically pertaining to the FX market. We show how, properly choosing the functional parameter of the MPRE, the simulated...

In order to examine the new RMB exchange rate regime rigorously, we employ the STARTZ model to investigate the behavior of RMB NEER from mid-2006 to mid-2008. We find that a managed float with a target central parity and without an explicit band best describes the daily movement of the exchange...

This paper studies the credibility of the currency peg of Cape Verde (CV) by assessing the impact of economic fundamentals, our explanatory variables, on the stochastic properties of Exchange Market Pressure (EMP), the dependent variable, using EGARCH-M models. Our EMP descriptive analysis finds...

This study considers emerging market central bank interventions motivated by international reserve management. Emerging market central banks use currency intervention as a policy tool against exchange rate movements and accumulate international reserves as an insurance against sudden stops or...

The framework of "one currency, two markets" makes China's currency market quite unique compared to its Western counterparts. In this study, we characterize the linkage between the onshore and o shore Renminbi exchange rates, and estimate the effect of the recent Renminbi market reforms against...

A conditional variance analysis is applied to study the exchange rate of the Czech crown. The crown is pegged to a currency basket with an imposed narrow band. The central bank's consistent policy enables the semi-fixed exchange rates to behave similarly to free ones. Their movements exhibit...

This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market...

Obtaining reliable estimates of the volatility of interest rates and exchange rates is a necessary condition to evaluate issues related to monetary independence and fear of floating. In this paper we use methods which explicitly account for structural breaks in the volatility dynamics in order...