Modeling the intensity of foreign exchange intervention activity

Economics Letters

Volumn 85, Issue 3, 2004, Pages 347-351

  Frenkel, Michael ^a   Pierdzioch, Christian ^b   Stadtmann, Georg ^a  

^a WHU OTTO BEISHEIM SCHOOL OF MANAGEMENT   (Germany)

^b KIEL INSTITUTE FOR THE WORLD ECONOMY   (Germany)

Author keywords

Count data model; Foreign exchange interventions; Reaction function

Indexed keywords

EID: 13844289281     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2004.03.036     Document Type: Article

References (8)

1. G.J. Almekinders S.C.W. Eijffinger Daily Bundesbank and Federal Reserve interventions: Are they a reaction to changes in the level and volatility of the DM/$-Rate? Empirical Economics 19 1994 111-130
2. G.J. Almekinders S.C.W. Eijffinger A friction model of daily Bundesbank and Federal Reserve intervention Journal of Banking and Finance 20 1996 1365-1380
3. R.T. Baillie W.P. Osterberg Why do central banks intervene? Journal of International Money and Finance 16 6 1997 909-919
4. K.M. Dominguez J.A. Frankel Does foreign exchange intervention matter? The Portfolio Effect American Economic Review 83 5 1993 1356-1369
5. A.M. Fischer M. Zurlinden Exchange rate effects of central bank interventions: An analysis of transaction prices Economic Journal 109 1999 662-676
6. W.H. Greene Econometric Analysis fourth ed. 2000 Prentice Hall New Jersey
7. A. Heston R. Summers B. Aten Penn World Table Version 6.0 2001 (December) Center for International Comparisons at the University of Pennsylvania (CICUP)
8. L. Sarno M.P. Taylor Official intervention in the foreign exchange market: Is it effective and, if so, how does it work? Journal of Economic Literature 39 2001 839-868