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Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evidence from survey data
Beine, Michel; Bénassy, A.; Mc Donald, R.
2007In Journal of the Japanese and International Economies, 21 (1), p. 38-65
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Keywords :
Central bank intervention; Survey expectations; Foreign exchange markets; Market micro-structure
Abstract :
[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.
Disciplines :
International economics
Identifiers :
UNILU:UL-ARTICLE-2008-973
Author, co-author :
Beine, Michel  ;  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
Language :
English
Title :
Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evidence from survey data
Publication date :
2007
Journal title :
Journal of the Japanese and International Economies
ISSN :
0889-1583
Publisher :
ACADEMIC PRESS
Volume :
21
Issue :
1
Pages :
38-65
Peer reviewed :
Peer reviewed
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