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Impact of Central Bank Intervention during Periods of Speculative Pressure: Evidence from the European Monetary System

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  • Helmut Stix

Abstract

This paper studies the effects of Banco de España and Banque de France interventions during the 1992-93 European Monetary System crises. In particular, a Markov Switching model is estimated where interventions influence the probabilities of transition between a calm and a turbulent regime. Furthermore, we analyze the impact of intervention on the expected rate of realignment. On balance, the results are consistent with the view that publicly known interventions but not secret interventions increased both the probability of switching to the turbulent regime as well as the expected realignment rate. Copyright Verein für Socialpolitik and Blackwell Publishing Ltd. 2007.

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Article provided by Verein für Socialpolitik in its journal German Economic Review.

Volume (Year): 8 (2007)
Issue (Month): (08)
Pages: 399-427

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Handle: RePEc:bla:germec:v:8:y:2007:i::p:399-427

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  1. Charles Engel & Craig S. Hakkio, 1994. "The distribution of exchange rates in the EMS," Research Working Paper 94-03, Federal Reserve Bank of Kansas City.
  2. Eichengreen, Barry, 2001. "The EMS Crisis in Retrospect," CEPR Discussion Papers 2704, C.E.P.R. Discussion Papers.
  3. Flood, Robert & Marion, Nancy, 1999. "Perspectives on the Recent Currency Crisis Literature," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-26, January.
  4. De Vries, C.G. & Leuven, K.U., 1994. "Stylized Facts of Nominal Exchange Rate Returns," Papers 94-002, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
  5. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, April.
  6. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
  7. Rose, A.K. & Svensson, L.E.O., 1993. "European Exchange Rate Credibility Before the Fall," Papers 542, Stockholm - International Economic Studies.
  8. Koedijk, C.G. & Mizrach, B. & Stork, P.A. & Vries, C.G. de, 1995. "New evidence on the effectiveness of foreign exchange market intervention," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108684, Tilburg University.
  9. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, April.
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