The effectiveness of Central Bank intervention: evidence from Turkey
AbstractThis article investigates the effectiveness of Central Bank intervention on the conditional variance and the mean of the exchange rate returns in Turkey during the float period. The daily exchange rates are studied within an Exponential General Autoregressive Conditional Heteroskedastic (EGARCH) framework. Little evidence is found for the effectiveness of intervention operations. Empirical results suggest that foreign exchange (FX) selling auctions increase exchange rate volatility. However, a reverse causality relationship detected between one-day past sales of FX auctions and exchange rate returns which is supportive of leaning-against-the-wind behaviour of the Central Bank contradicts its announcements. Also the Central Bank of Turkey (CBT) tends to intervene through FX selling auctions when one-day past volatility is higher.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 43 (2011)
Issue (Month): 14 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jaromir Benes & Andrew Berg & Rafael A Portillo & David Vavra, 2013. "Modeling Sterilized Interventions and Balance Sheet Effects of Monetary Policy in a New-Keynesian Framework," IMF Working Papers 13/11, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.