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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10001465153

Misalignment, Liabilities Dollarization and Exchange Rate Adjustment in Latin America

Alberola, Enrique - 2007

Exchange rates in Latin America display a large volatility, constitute a central element of the policy strategies and … coupled with sudden stops of capitals, may help explaining the higher volatility of real exchange rates in the region …

Persistent link: https://www.econbiz.de/10014051324

Central Bank Authorities' Beliefs About Foreign Exchange Intervention

Neely, Christopher J. - 2007

channels of effectiveness. Respondents disagreed with predominant views on intervention and volatility and common arguments …

Persistent link: https://www.econbiz.de/10014051506

Exchange Rate Dynamics With Crash Risk and Interventions

Hui, Cho-Hoi; Lo, Chi-Fai; Liu, Chi-Hei - 2022

An exchange rate model with crash risk is developed with the exchange rate confined in a wide moving band. A currency crash occurs when its exchange rate breaches a boundary. Using an asymmetric mean-reverting fundamental shock to incorporate intervention policy in the model, the log-normalised...

Persistent link: https://www.econbiz.de/10014076790

Supply Shocks and Real Exchange Rate Volatility in a Small Open Economy

Azcona, Nestor - 2016

This paper examines the effect of overall and sector-specific productivity shocks on the real exchange rate in small open economies. A dynamic stochastic small open economy model shows that productivity shocks impact the real exchange rate mostly through changes in the relative price of...

Persistent link: https://www.econbiz.de/10013005242

A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments : Mexico 1998-2008

Benavides, Guillermo - 2010

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …

Persistent link: https://www.econbiz.de/10013144183

Exchange rate volatility and the effectiveness of FX interventions : the case of Chile

Jara R., Alejandro; Piña, Marco - In: Latin American journal of central banking : LAJCB 4 (2023) 2, pp. 1-27

regime in the late 1990s. In particular, we ask whether these interventions have dumped excess exchange rate volatility and … reduced its probability of being in a high volatility state. To do so, we rely on a high-frequency GARCH(1,1) volatility model … that FX interventions in Chile tend to occur during high exchange rate volatility periods, which correlate with domestic …

Persistent link: https://www.econbiz.de/10014382911

A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008

Benavides, Guillermo; Capistrán Carmona, Carlos - 2009

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …

Persistent link: https://www.econbiz.de/10003893830

Interventions and expected exchange rates in emerging market economies

García-Verdú, Santiago; Ramos-Francia, Manuel - 2014

We study variations in the risk-neutral distributions of the exchange rates in Brazil, Chile, Colombia, Mexico, and Peru due to interventions implemented by these countries. For this purpose, we first estimate the risk-neutral densities of the exchange rates based on derivatives market data, for...

Persistent link: https://www.econbiz.de/10010370897

The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis

Pierdzioch, Christian - 2000

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

Persistent link: https://www.econbiz.de/10011476547