Central bank intervention and risk in the forward market

Journal of International Economics

Volumn 43, Issue 3-4, 1997, Pages 483-497

  Baillie, Richard T ^a   Osterberg, William P ^b  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b FEDERAL RESERVE BANK OF CLEVELAND   (United States)

Author keywords

Central bank intervention; Exchange rates; GARCH; Risk premium

Indexed keywords

EID: 0000140238     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(97)00015-9     Document Type: Article

References (30)

1. Baillie, R.T., Lippens, R.E., McMahon, P.C., 1983. Testing rational expectations and efficiency in the foreign exchange market. Econometrica 51, 553-563.
2. Baillie, R.T., 1989. Econometric tests of rationality and market efficiency. Econometric Reviews 8, 151-186.
3. Baillie, R.T., Bollerslev, T., 1989. The message in daily exchange rates: a conditional variance tale. Journal of Business and Economic Statistics 7, 297-305.
4. Baillie, R.T., Bollerslev, T., 1990. A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets. Journal of International Money and Finance 9, 309-324.
5. Bollerslev, T., 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307-327.
6. Bollerslev, T., 1987. A conditional heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69, 542-547.
7. Dominguez, K., 1990. Market responses to coordinated central bank intervention. Carnegie Rochester Conference Series on Public Policy 31, 121-164.
8. Dominguez, K., Frankel, J.A., 1993. Does foreign exchange intervention matter? The portfolio effect. American Economic Review 83, 1356-1369.
9. Domowitz, I., Hakkio, C.S., 1985. Conditional variance and the risk premium in the foreign exchange market. Journal of International Economics 19, 47-66.
10. French, K.R., Roll, R., 1986. Stock return variances: the arrival of information and the reaction of traders. Journal of Finance 17, 5-26.
11. Froot, K.A., M. Obstfeld, 1989. Exchange rate dynamics under stochastic regime shifts: a unified approach, Harvard Institute of Economic Research discussion paper 1451.
12. Funabashi, Y., 1989. Managing the Dollar: From the Plaza to the Louvre. Institute for International Economics, Washington, DC.
13. Ghosh, A., 1992. Is it signalling? Exchange intervention and the dollar-deutschemark rate. Journal of International Economics 32, 201-220.
14. Hakkio, C.S., 1981. Expectations and the forward exchange rate. International Economic Review 22, 663-678.
15. Hansen, L.P., Hodrick, R.J., 1980. Forward exchange rates as optimal predictors of future spot rates. Journal of Political Economy 88, 829-853.
16. Hodrick, R.J., Srivastava, S., 1984. An investigation of risk and return in forward foreign exchange. Journal of International Money and Finance 3, 5-30.
17. Hodrick, R.J., 1987. Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Academic Press, New York.
18. Hodrick, R.J., 1989. Risk, uncertainty and exchange rates. Journal of Monetary Economics 23, 433-459.
19. Hsieh, D.A., 1989. The statistical properties of daily foreign exchange rates: 1974-1983. Journal of International Economics 24, 129-145.
20. Hsieh, D.A., 1989. Modeling heteroskedasticity in daily foreign exchange rates. Journal of Business and Economic Statistics 7, 307-317.
21. Humpage, O.F., 1988. Intervention and the dollar's decline. Federal Reserve Bank of Cleveland Economic Review, quarter 2, 2-16.
22. Kaminsky, G., Peruga, R., 1990. Can a time varying risk premium explain excess returns in the forward market for foreign exchange?. Journal of International Economics 28, 47-70.
23. Klein, M.W., Lewis, K., 1991. Learning About Intervention Target Zones. NBER working paper 3674.
24. Levine, R., 1989. The pricing of forward contracts. Journal of International Money and Finance 8, 163-179.
25. McCurdy, T., Morgan, I.G., 1987. Tests of the martingale hypothesis for foreign currency futures with time varying volatility. International Journal of Forecasting 3, 131-148.
26. McFarland, J.W., Pettit, R.R., Sung, S.K., 1982. The distribution of foreign exchange price changes: trading day effects and risk measurement. Journal of Finance 37, 693-715.
27. Obstfeld, M., 1989. The effectiveness of foreign exchange: intervention. NBER working paper, 2796.
28. Osterberg, W.P., 1989. Intervention and the risk premium in foreign exchange rates. Federal Reserve Bank of Cleveland, working paper, 8909.
29. Riehl, H., Rodriguez, R., 1977. Foreign Exchange Markets. McGraw Hill, New York.
30. Takagi, S., 1991. Foreign exchange market intervention and domestic monetary control in Japan 1973-1989. Japan and the World Economy 3, 147-180.