Article (Scientific journals)
The Impact of Central Bank FX Interventions on Currency Components
Beine, Michel; Bos, Charles; Laurent, Sébastien
2007In Journal of Financial Econometrics, 5 (1), p. 154-183
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Abstract :
[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.
Disciplines :
International economics
Identifiers :
UNILU:UL-ARTICLE-2008-974
Author, co-author :
Beine, Michel  ;  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
Language :
English
Title :
The Impact of Central Bank FX Interventions on Currency Components
Publication date :
2007
Journal title :
Journal of Financial Econometrics
ISSN :
1479-8409
Publisher :
Oxford University Press
Volume :
5
Issue :
1
Pages :
154-183
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBilu :
since 04 October 2013

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