References of "International Journal of Finance and Economics"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailCentral Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components
Beine, Michel UL; Lahaye, Jérôme; Neely, Christopher J. et al

in International Journal of Finance and Economics (2007), 12(2), 201-223

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 ... [more ▼]

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. [less ▲]

Detailed reference viewed: 82 (4 UL)