TY - JOUR
T1 - Central bank intervention and foreign exchange rates
T2 - New evidence from FIGARCH estimations
AU - Beine, Michel
AU - Bénassy-Quéré, Agnès
AU - Lecourt, Christelle
PY - 2002/2
Y1 - 2002/2
N2 - In this paper, we investigate the effects of official interventions on the (short run) evolution and volatility of exchange rates. To this aim, we rely on a new measure of volatility implied by the FIGARCH model that outperforms the traditionally used GARCH one. It is found that central bank interventions exert an incorrectly signed effect on the levels of exchange rates and tend to increase their volatility in the short run. In general, our results also show that the traditional GARCH estimations tend to underestimate the effects in terms of volatility.
AB - In this paper, we investigate the effects of official interventions on the (short run) evolution and volatility of exchange rates. To this aim, we rely on a new measure of volatility implied by the FIGARCH model that outperforms the traditionally used GARCH one. It is found that central bank interventions exert an incorrectly signed effect on the levels of exchange rates and tend to increase their volatility in the short run. In general, our results also show that the traditional GARCH estimations tend to underestimate the effects in terms of volatility.
KW - Central bank intervention
KW - Exchange rate volatility
KW - FIGARCH
UR - http://www.scopus.com/inward/record.url?scp=0013201796&partnerID=8YFLogxK
U2 - 10.1016/S0261-5606(01)00040-7
DO - 10.1016/S0261-5606(01)00040-7
M3 - Article
AN - SCOPUS:0013201796
VL - 21
SP - 115
EP - 144
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
SN - 0261-5606
IS - 1
ER -