Central bank intervention and exchange rate volatility, its continuous and jump components

International Journal of Finance and Economics

Volumn 12, Issue 2, 2007, Pages 201-223

  Beine, Michel ^a,e   Lahaye, Jérôme ^b   Laurent, Sébastien ^b   Neely, Christopher J ^c   Palm, Franz C ^d  

^a UNIVERSITY OF LUXEMBOURG   (Luxembourg)

^b UNIVERSITY OF NAMUR   (Belgium)

^c FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^d MAASTRICHT UNIVERSITY   (Netherlands)

^e FREE UNIVERSITY OF BRUSSELS   (Belgium)

Author keywords

Bi power variation; Exchange rate; Intervention; Jumps; Volatility

Indexed keywords

CENTRAL BANK; CORRELATION; ECONOMETRICS; EXCHANGE RATE;

EID: 34249063273     PISSN: 10769307     EISSN: 10991158     Source Type: Journal    
DOI: 10.1002/ijfe.330     Document Type: Article

References (32)

1. Andersen TG, Bollerslev T. 1998a. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39: 885-905.
2. Andersen TG, Bollerslev T. 1998b. DM-dollar volatility: intraday activity patterns, macroeconomic announcements and longer run dependencies. The Journal of Finance 53: 219-265.
3. Andersen TG, Bollerslev T, Diebold FX. 2005. Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility. NBER Working Paper 11775, Review of Economics and Statistics, forthcoming.
4. Andersen TG, Bollerslev T, Diebold FX, Labys P. 1999. Realized volatility and correlation. L.N. Stern School of Finance Department Working Paper 24.
5. Andersen TG, Bollerslev T, Diebold FX, Labys P. 2001. The distribution of realized exchange rate volatility. Journal of the American Statistical Association 96: 42-55.
6. Andersen TG, Bollerslev T, Diebold FX, Vega C. 2003. Micro effects of macro announcements: real-time price discovery in foreign exchange. The American Economic Review 93: 38-62.
7. Baillie RT, Osterberg WP. 1997. Why do central banks intervene? Journal of International Money and Finance 16: 909-919.
8. Barndorff-Nielsen O, Graversen J, Jacod J, Podolskij M, Shephard N. 2005. A central limit theorem for realized power and bipower variation of continuous semimartingale. In From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, Kabanov Y, Lipster R (eds). Springer: Berlin.
9. Barndorff-Nielsen O, Shephard N. 2002a. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society 64: 253-280.
10. Barndorff-Nielsen O, Shephard N. 2002b. Estimating quadratic variation using realized variance. Journal of Applied Econometrics 17: 457-478.
11. Barndorff-Nielsen O, Shephard N. 2004. Power and bipower variation with stochastic volatility and jumps (with discussion). Journal of Financial Econometrics 2: 1-48.
12. Barndorff-Nielsen O, Shephard N. 2006. Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics 4: 1-30.
13. Beine M, Bénassy-Quéré A, Lecourt C. 2002. Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations. Journal of International Money and Finance 21: 115-144.
14. Beine M, Laurent S, Palm F. 2005. Central bank forex interventions assessed using realized moments. Working Paper.
15. Bonser-Neal C, Tanner G. 1996. Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. Journal of International Money and Finance 15: 853-878.
16. Catte P, Galli G, Rebecchini S. 1992. Exchange markets can be managed. Report on the G-7, International Economic Insights.
17. Comte F, Renault E. 1998. Long memory in continuous time stochastic volatility models. Mathematical Finance 8: 291-323.
18. Dominguez KM. 1998. Central bank intervention and exchange rate volatility. Journal of International Money and Finance 17: 161-190.
19. Dominguez KM. 2003. The market microstructure of central bank intervention. Journal of International Economics 59: 25-45.
20. Dominguez KM. 2006. When do central bank interventions influence intra-daily and longer-term exchange rate movements. Journal of International Money and Finance 25: 1051-1071.
21. Fischer AM. 2005. On the inadequacy of newswire reports for empirical research on foreign exchange interventions. Swiss National Bank Working Papers 2005-2.
22. Fischer A, Zurlinden M. 1999. Exchange rate effects of central bank interventions: an analysis of transaction prices. Economic Journal 109: 662-676.
23. Galati G, Melick W. 1999. Central bank intervention and market expectations: an empirical study of the Yen/Dollar exchange rate, 1993-1996. BIS Working Paper 77.
24. Gnabo J, Laurent S, Lecourt C. 2006. Does transparency in central bank intervention policy bring noise in the market? the case of the bank of Japan. Mimeo, University of Namur.
25. Huang X, Tauchen G. 2005. The relative contribution of jumps to total price variation. Journal of Financial Econometrics 3: 456-499.
26. Humpage OF. 2003. Government intervention in the foreign exchange market. Working Paper 03-15, Federal Reserve Bank of Cleveland.
27. Kearns J, Rigobon R. 2005. Identifying the efficacy of central bank interventions: evidence from Australia and Japan. Journal of International Economics 66: 31-48.
28. Lyons RK. 2001. The Microstructure Approach to Exchange Rates. The MIT Press: Cambridge, MA.
29. Neely CJ. 2000. The practice of central bank intervention: looking under the hood. Federal Reserve Bank Working Paper No. 2000-028.
30. Neely CJ. 2005a. An analysis of recent studies of the effect of foreign exchange intervention. Working Paper No. 2005-03B, Federal Reserve Bank of Saint Louis.
31. Neely CJ. 2005b. Identifying the effect of US interventions on the level of exchange rates. Working Paper No. 2005-031B, Federal Reserve Bank of Saint Louis.
32. O'Hara. 1995. Market Microstructure Theory. Basic Blackwell: Oxford.