TY - JOUR
T1 - Central bank FOREX interventions assessed using realized moments
AU - Beine, Michel
AU - Laurent, Sébastien
AU - Palm, Franz C.
PY - 2009/2
Y1 - 2009/2
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.
KW - Central bank interventions
KW - Exchange rates realized moments
UR - http://www.scopus.com/inward/record.url?scp=57649222317&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2007.09.001
DO - 10.1016/j.intfin.2007.09.001
M3 - Article
AN - SCOPUS:57649222317
SN - 1042-4431
VL - 19
SP - 112
EP - 127
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 1
ER -