References of "Bénassy, A."
     in
Bookmark and Share    
Peer Reviewed
See detailThe impact of central bank intervention on exchange-rate forecast heterogeneity
Beine, Michel UL; Bénassy, A.; Mac Donald, R.

in Journal of the Japanese and International Economies (2007), 21(1), 38-63

Detailed reference viewed: 87 (4 UL)
Peer Reviewed
See detailDo Central Bank Interventions increase exchange rate forecasts heterogeneity? New evidence from survey data
Beine, Michel UL; Bénassy, A.; Mc Donald, R.

in Journal of the Japanese and International Economies (2007), 21(1), 38-65

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 ... [more ▼]

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. [less ▲]

Detailed reference viewed: 64 (2 UL)