User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

Central bank FOREX interentions assessed using realized moments

Primary tabs

Beine, Michel [Université du Luxembourg] Laurent, Sébastien [UCL] Palm, Franz []

This paper assesses the impact of G3 official central bank interventions on daily realized moments of DEM/USD exchange rate returns obtained from intraday data, 1989–2001. Event studies of the realized moments for the intervention day, the days preceding and following the intervention illustrate the shape of this impact. Rolling regressions results for an AR(FI)MA model for realized moments are used to measure the impact and its significance. The analysis confirms previous empirical findings of a temporary increase of volatility after a coordinated central bank intervention. It highlights new findings on the timing and the temporary nature of the impact of coordinated interventions on exchange rate volatility and on cross-moments between foreign exchange markets.

Document type Article de périodique (Journal article)
Access type Accès interdit
Publication date 2009
Language Anglais
Journal information "International Financial Markets, Institutions & Money" - Vol. 19, no. 1, p. 112-127 (Février 2009)
Peer reviewed yes
Publisher Elsevier
issn 1042-4431
Publication status Publié
Affiliations Université du Luxembourg - Cellule de Recherche en Economie Appliquée
UCL - EUEN/CORE - Center for operations research and econometrics
Universiteit Maastricht - Department of Quantitative Economics
Keywords Central bank interventions ; Exchange rates realized moments
Links
Bibliographic reference Beine, Michel ; Laurent, Sébastien ; Palm, Franz. Central bank FOREX interentions assessed using realized moments. In: International Financial Markets, Institutions & Money, Vol. 19, no. 1, p. 112-127 (Février 2009)
Permanent URL http://hdl.handle.net/2078.1/28832