TY - UNPB
T1 - Official Central Bank Interventions in the Foreign Exchange Markets
T2 - A DCC Approach with Exogenous Variables
AU - Antonakakis, Nikolaos
N1 - Published as a paper within the Discussion Papers in Economics, No. 10-02 (2010)
PY - 2010/3/8
Y1 - 2010/3/8
N2 - This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate official interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.
AB - This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate official interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.
KW - central bank interventions
KW - foreign exchange
KW - multivariate garch
KW - conditional correlations
UR - https://www.strath.ac.uk/business/economics/research/discussionpapers/
M3 - Discussion paper
T3 - Strathclyde Discussion Papers in Economics
BT - Official Central Bank Interventions in the Foreign Exchange Markets
PB - University of Strathclyde
CY - Glasgow
ER -