Central bank FOREX interventions assessed using realized moments

M. Beine; S. Laurent; F.C. Palm

doi:10.1016/j.intfin.2007.09.001

Central bank FOREX interventions assessed using realized moments

M. Beine, S. Laurent, F.C. Palm

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

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.

Original language	English
Pages (from-to)	112-127
Number of pages	16
Journal	Journal of International Financial Markets, Institutions & Money
Volume	19
Issue number	1
DOIs	https://doi.org/10.1016/j.intfin.2007.09.001
Publication status	Published - 1 Jan 2009

Access to Document

10.1016/j.intfin.2007.09.001

Cite this

@article{9332dc4f730a4a148206aa0e5b830755,

title = "Central bank FOREX interventions assessed using realized moments",

abstract = "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.",

author = "M. Beine and S. Laurent and F.C. Palm",

year = "2009",

month = jan,

day = "1",

doi = "10.1016/j.intfin.2007.09.001",

language = "English",

volume = "19",

pages = "112--127",

journal = "Journal of International Financial Markets, Institutions & Money",

issn = "1042-4431",

publisher = "Elsevier BV",

number = "1",

}

TY - JOUR

T1 - Central bank FOREX interventions assessed using realized moments

AU - Beine, M.

AU - Laurent, S.

AU - Palm, F.C.

PY - 2009/1/1

Y1 - 2009/1/1

N2 - 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.

AB - 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.

U2 - 10.1016/j.intfin.2007.09.001

DO - 10.1016/j.intfin.2007.09.001

M3 - Article

SN - 1042-4431

VL - 19

SP - 112

EP - 127

JO - Journal of International Financial Markets, Institutions & Money

JF - Journal of International Financial Markets, Institutions & Money

IS - 1

ER -