Central Bank Forex Interventions Assessed Using Realized Moments
- 1 January 2004
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper studies and assesses the impact of G3 Central Bank interventions on the DEM/USD exchange rate properties using daily realized moments of exchange rate returns (obtained from intraday data) for the period 1989-2001. Event studies in terms of the realized moments for the intervention day, the days preceding and following the intervention day illustrate the shape of this impact. Rolling regressions results for an ARFIMA model for realized moments are used to measure the intervention impact and characterize its significance. The analysis confirms previous findings of an increase of volatility after a coordinated Central Bank intervention. It highlights new findings on the timing and the persistence of coordinated interventions on exchange rate volatility, on important volatility spillovers, on the impact on exchange rate covariances and correlations and on skewness coefficients.Keywords
This publication has 34 references indexed in Scilit:
- Conditional covariances and direct central bank interventions in the foreign exchange marketsJournal of Banking & Finance, 2003
- Modeling and Forecasting Realized VolatilityEconometrica, 2003
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility ModelsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2002
- Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimationsJournal of International Money and Finance, 2002
- The Distribution of Realized Exchange Rate VolatilityJournal of the American Statistical Association, 2001
- Intervention from an information perspectiveJournal of International Financial Markets, Institutions and Money, 2000
- Intraday periodicity and volatility persistence in financial marketsPublished by Elsevier ,1998
- Why do central banks intervene?Journal of International Money and Finance, 1997
- Central bank intervention and risk in the forward marketJournal of International Economics, 1997
- DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run DependenciesPublished by National Bureau of Economic Research ,1996