Reference : Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evi...
Scientific journals : Article
Business & economic sciences : International economics
http://hdl.handle.net/10993/7646
Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evidence from survey data
English
Beine, Michel mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Bénassy, A. [CEPII, Paris]
Mc Donald, R. [University of Glasgow]
2007
Journal of the Japanese & International Economies
ACADEMIC PRESS
21
1
38-65
Yes (verified by ORBilu)
0889-1583
[en] Central bank intervention ; Survey expectations ; Foreign exchange markets ; Market micro-structure
[en] We analyze the relationship between interventions and volatility at daily and intra-daily
frequencies for the two major exchange rate markets. Using recent econometric methods to
estimate realized volatility, we employ bipower variation to decompose this volatility into a
continuously varying and jump component. Analysis of the timing and direction of jumps
and interventions imply that coordinated interventions tend to cause few, but large jumps.
Most coordinated operations explain, statistically, an increase in the persistent (continuous)
part of exchange rate volatility. This correlation is even stronger on days with jumps.
Researchers ; Professionals ; Students ; General public ; Others
http://hdl.handle.net/10993/7646

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