Reference : Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components
Scientific journals : Article
Business & economic sciences : International economics
http://hdl.handle.net/10993/7644
Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components
English
Beine, Michel mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Lahaye, Jérôme [University of Namur and CORE]
Neely, Christopher J. [Federal Reserve Bank of St. Louis]
Palm, Franz C. [Maastricht University]
Laurent, Sébastien [University of Namur and CORE]
2007
International Journal of Finance and Economics
John Wiley & Sons, Inc.
12
2
201-223
Yes (verified by ORBilu)
1076-9307
[en] We analyze the relationship between interventions and volatility at daily and intra-daily
<br />frequencies for the two major exchange rate markets. Using recent econometric methods to
<br />estimate realized volatility, we employ bipower variation to decompose this volatility into a
<br />continuously varying and jump component. Analysis of the timing and direction of jumps
<br />and interventions imply that coordinated interventions tend to cause few, but large jumps.
<br />Most coordinated operations explain, statistically, an increase in the persistent (continuous)
<br />part of exchange rate volatility. This correlation is even stronger on days with jumps.
Researchers ; Professionals ; Students ; General public ; Others
http://hdl.handle.net/10993/7644
also: http://hdl.handle.net/10993/7645

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