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Central bank FOREX interventions assessed using realized moments

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  • Beine, Michel
  • Laurent, Sébastien
  • Palm, Franz C.

Abstract

This paper assesses the impact of G3 official central bank interventions on daily realized moments of DEM/USD exchange rate returns obtained from intraday data, 1989-2001. Event studies of the realized moments for the intervention day, the days preceding and following the intervention illustrate the shape of this impact. Rolling regressions results for an AR(FI)MA model for realized moments are used to measure the impact and its significance. The analysis confirms previous empirical findings of a temporary increase of volatility after a coordinated central bank intervention. It highlights new findings on the timing and the temporary nature of the impact of coordinated interventions on exchange rate volatility and on cross-moments between foreign exchange markets.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 19 (2009)
Issue (Month): 1 (February)
Pages: 112-127

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Handle: RePEc:eee:intfin:v:19:y:2009:i:1:p:112-127

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Web page: http://www.elsevier.com/locate/intfin

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Keywords: Central bank interventions Exchange rates realized moments;

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References

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Citations

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Cited by:
  1. Douglas, Christopher C. & Kolar, Marek, 2009. "Capturing the time dynamics of central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 950-968, December.
  2. Rasmus Fatum & Jesper Pedersen, 2007. "Real-Time Effects of Central Bank Interventions in the Euro Market," EPRU Working Paper Series 07-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  3. BEINE, Michel & LAURENT, Sébastien & PALM, Franz, 2004. "Central Bank forex interventions assessed using realized moments," CORE Discussion Papers 2004001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. BEINE, Michel & BOS, Charles S. & LAURENT, Sébastien, . "The impact of Central Bank FX interventions on currency components," CORE Discussion Papers RP -1980, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Andersen, Peter & Kim, Suk-Joong, 2011. "Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from microstructural analyses," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 277-295, April.
  6. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  7. Morel, Christophe & Teiletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Economics Papers from University Paris Dauphine 123456789/12956, Paris Dauphine University.
  8. Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "The perils of a central bank's capital control: How substantial is the effect on firm value?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 111-135.
  9. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
  10. repec:hal:journl:halshs-00174996 is not listed on IDEAS
  11. Cheng, Ai-ru (Meg) & Das, Kuntal & Shimatani, Takeshi, 2013. "Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility," Journal of Asian Economics, Elsevier, vol. 28(C), pages 87-98.
  12. Jean-Yves Gnabo & Jér�me Lahaye & Sébastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
  13. Kim, Suk-Joong & Le, Anh Tu, 2010. "Secrecy of Bank of Japan's Yen intervention: Evidence of efficacy from intra-daily data," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 369-394, September.
  14. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
  15. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics 13/19, University of Canterbury, Department of Economics and Finance.
  16. Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "Unremunerated reserve requirements, exchange rate volatility, and firm value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 358-378.

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