Similar Search Results

Central bank intervention and the volatility of foreign exchange rates : evidence from options market

Bonser-Neal, Catherine; Tanner, Glenn - 1995

Persistent link: https://www.econbiz.de/10000910149

Monetary regime changes and the behavior of ex ante real interest rates : a multi-country study

Bonser-Neal, Catherine - In: Journal of monetary economics 26 (1990) 3, pp. 329-359

Persistent link: https://www.econbiz.de/10001102489

Central bank intervention and the volatility of foreign exchange rates: Evidence from the options market

Bonser-Neal, Catherine; Tanner, Glenn - In: Journal of international money and finance 15 (1996) 6, pp. 853-878

Persistent link: https://www.econbiz.de/10006930954

Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

Bonser-Neal, Catherine; Tanner, Glenn - Federal Reserve Bank of Kansas City - 1995

This paper tests the effects of central bank intervention on the ex ante volatility of $/DM and $/Yen exchange rates. In contrast to previous research which employed GARCH estimates of conditional volatility, we estimate ex ante volatility using the implied volatilities of currency options...

Persistent link: https://www.econbiz.de/10005410684