Reference : The Impact of Central Bank FX Interventions on Currency Components
Scientific journals : Article
Business & economic sciences : International economics
The Impact of Central Bank FX Interventions on Currency Components
Beine, Michel mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Bos, Charles [Vrije Universiteit Maastricht]
Laurent, Sébastien [Facultés Universitaires Notre-Dame de la Paix, Namur]
Journal of Financial Econometrics
Oxford University Press
Yes (verified by ORBilu)
[en] This paper is the first attempt to assess the impact of official FOREX interventions
of the three major central banks in terms of the dynamics of the currency components
of the major exchange rates (EUR/USD and YEN/USD) over the period 1989-2003. We
identify the currency components of the mean and the volatility processes of exchange
rates using the recent Bayesian framework developed by Bos and Shephard (2006). Our
results show that in general, the concerted interventions tend to affect the dynamics of
both currency components of the exchange rate. In contrast, unilateral interventions are
found to primarily affect the currency of the central bank present in the market. Our
findings also emphasize a role for interventions conducted by these central banks on other
related FOREX markets.
Researchers ; Professionals ; Students ; General public ; Others

File(s) associated to this reference

Fulltext file(s):

Limited access
bbl160806.pdfAuthor preprint802.8 kBRequest a copy

Bookmark and Share SFX Query

All documents in ORBilu are protected by a user license.