| Reference : Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evi... |
| Scientific journals : Article | |||
| Business & economic sciences : International economics | |||
| http://hdl.handle.net/10993/7646 | |||
| Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evidence from survey data | |
| English | |
Beine, Michel  [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >] | |
| Bénassy, A. [CEPII, Paris] | |
| Mc Donald, R. [University of Glasgow] | |
| 2007 | |
| Journal of the Japanese and International Economies | |
| ACADEMIC PRESS | |
| 21 | |
| 1 | |
| 38-65 | |
| Yes (verified by ORBilu) | |
| 0889-1583 | |
| [en] Central bank intervention ; Survey expectations ; Foreign exchange markets ; Market micro-structure | |
| [en] We analyze the relationship between interventions and volatility at daily and intra-daily
frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps. | |
| Researchers ; Professionals ; Students ; General public ; Others | |
| http://hdl.handle.net/10993/7646 |
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