A test for the presence of central bank intervention in the foreign exchange market with an application to the Bank of Canada
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 41 (2011)
Issue (Month): 3 (December)
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Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
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Research Paper Series
57, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Hansen, Bruce E, 1996.
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- Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Weymark, Diana N., 1995. "Estimating exchange market pressure and the degree of exchange market intervention for Canada," Journal of International Economics, Elsevier, vol. 39(3-4), pages 273-295, November.
- Rudiger Dornbusch, 1980. "Exchange Rate Economics: Where Do We Stand?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1, Tenth ), pages 143-206.
- Longworth, David, 1980. "Canadian Intervention in the Foreign Exchange Market: A Note," The Review of Economics and Statistics, MIT Press, vol. 62(2), pages 284-87, May.
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