Central bank FOREX interventions assessed using realized moments

Michel Beine*, Sébastien Laurent, Franz C. Palm

*Corresponding author for this work

Research output: Contribution to journalArticle

23 Citations (Scopus)

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 languageEnglish
Pages (from-to)112-127
Number of pages16
JournalJournal of International Financial Markets, Institutions and Money
Volume19
Issue number1
DOIs
Publication statusPublished - Feb 2009

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Keywords

  • Central bank interventions
  • Exchange rates realized moments

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