| 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  [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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