Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?

This file is part of IDEAS, which uses RePEc data

Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?

Author Info

Almekinders, Geert J
Eijffinger, Sylvester C W

Additional information is available for the following registered author(s):

Sylvester Eijffinger

Abstract

This paper reports on the results of an empirical investigation into the objectives of daily foreign exchange market intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. dollar-Deutsche Mark market. Tobit analysis is implemented to estimate the intervention reaction functions consistently. It is found that an increase in the conditional variance in daily exchange rate returns derived from a GARCH model estimated in the paper, led the Bundesbank and the Federal Reserve to increase the volume of intervention, both in case of dollar-sales and purchases on account of their leaning against the wind policy.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 19 (1994)
Issue (Month): 1 ()
Pages: 111-30
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:empeco:v:19:y:1994:i:1:p:111-30

Contact details of provider:
Web page: http://link.springer.de/link/service/journals/00181/index.htm

Order Information:
Web: http://link.springer.de/orders.htm

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Beine,M. & Palm,F.C. & Laurent,S., 2003. "Central Bank Forex Interventions Assessed Using Realized Moments," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
Other versions:
- BEINE, Michel & LAURENT, SŽbastien & 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). [Downloadable!]
- Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February. [Downloadable!] (restricted)
Peter Brandner & Harald Grech, 2002. "Why Did Central Banks Intervene in the EMS? The Post 1993 Experience," Working Papers 77, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
Peter Brandner & Harald Grech, 2002. "Why Did Central Banks Intervene in the EMS? The Post-1993 Experience," WIFO Working Papers 192, WIFO. [Downloadable!]
Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS. The Post 1993 Experience," WIFO Working Papers 168, WIFO. [Downloadable!]
Other versions:
- Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience," Working Papers 55, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
- Brandner, Peter & Grech, Harald & Stix, Helmut, 2006. "The effectiveness of central bank intervention in the EMS: The post 1993 experience," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 580-597, June. [Downloadable!] (restricted)
Horvath, Roman, 2006. "Modelling Central Bank Intervention Activity under Inflation Targeting," MPRA Paper 914, University Library of Munich, Germany. [Downloadable!]
Other versions:
- Roman Horvath, 2007. "Modelling Central Bank Intervention Activity under Inflation Targeting," Economics Bulletin, Economics Bulletin, vol. 6(29), pages 1-8. [Downloadable!]
Ana Maria Herrera & Pinar Ozbay, 2005. "A Dynamic Model of Central Bank Intervention," Working Papers 0501, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
Suk-Joong Kim & Jeffrey Sheen, . "The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia," Working Papers 9919, University of Sydney, Department of Economics. [Downloadable!]
Other versions:
- Kim, S.-J. & Sheen, J., 1999. "The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia," Papers 99-19, Sydney - Department of Economics.
- Kim, Suk-Joong & Sheen, Jeffrey, 2002. "The determinants of foreign exchange intervention by central banks: evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 619-649, October. [Downloadable!] (restricted)
Jeff M. Rogers & Pierre Siklos, 2001. "Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience," Research Paper Series 57, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Other versions:
- Rogers, J. M. & Siklos, P. L., 2003. "Foreign exchange market intervention in two small open economies: the Canadian and Australian experience," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 393-416, June. [Downloadable!] (restricted)
S.Kim & T. Kortian & J. Sheen, 1999. "Central Bank Intervention and Exchange Rate Volatility," Working Papers 9905, University of Sydney, Department of Economics. [Downloadable!]

Statistics

Access and download statistics

Did you know? Authors can create their own profile with links to their works on the RePEc Author Service.

This page was last updated on 2009-11-7.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.