Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables

Nikolaos Antonakakis

Research output: Working paperDiscussion paper

Abstract

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.
LanguageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Pages1-40
Number of pages41
Volume10
Publication statusPublished - 8 Mar 2010

Fingerprint

Exogenous variables
Foreign exchange market
Central bank intervention
Return volatility
Bank of Japan
Exchange rate returns
Bilateral
Bank of England
Central bank
Bundesbank
Federal Reserve

Keywords

  • central bank interventions
  • foreign exchange
  • multivariate garch
  • conditional correlations

Cite this

Antonakakis, N. (2010). Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables . (02 ed.) (pp. 1-40). Glasgow: University of Strathclyde.
Antonakakis, Nikolaos. / Official Central Bank Interventions in the Foreign Exchange Markets : A DCC Approach with Exogenous Variables . 02. ed. Glasgow : University of Strathclyde, 2010. pp. 1-40
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Antonakakis, N 2010 'Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables ' 02 edn, University of Strathclyde, Glasgow, pp. 1-40.

Official Central Bank Interventions in the Foreign Exchange Markets : A DCC Approach with Exogenous Variables . / Antonakakis, Nikolaos.

02. ed. Glasgow : University of Strathclyde, 2010. p. 1-40.

Research output: Working paperDiscussion paper

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Antonakakis N. Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables . 02 ed. Glasgow: University of Strathclyde. 2010 Mar 8, p. 1-40.