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Noise trading, central bank interventions, and the informational content of foreign currency options

Pierdzioch, Christian - 2001

Persistent link: https://www.econbiz.de/10001626608

When do central bank interventions influence intra-daily and longer-term exchange rate movements

Dominguez, Kathryn M. - In: Journal of international money and finance 25 (2006) 7, pp. 1051-1071

Persistent link: https://www.econbiz.de/10003394347

When do central bank interventions influence intra-daily and longer-term exchange rate movements?

Dominguez, Kathryn M. - 2003

Persistent link: https://www.econbiz.de/10001780120

The microstructure of exchange rate management : FX intervention and capital controls in Brazil

Roure, Calebe de; Furniagiev, Steven; Reitz, Stefan - 2013

This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...

Persistent link: https://www.econbiz.de/10009783713

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532