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Are Interventions Self-Exciting?

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  • Fischer, Andreas M
  • Zurlinden, Mathias

Abstract

It is often argued that interventions provide news on changes in risk premia or in future monetary policy. If so, the timing of interventions offers important information for central bank watchers. One method to study the reaction function of a central bank is to consider whether the duration intervals of past interventions matter for future interventions. The time deformation of interventions is modelled as an autoregressive process following the class of ACD models first proposed by Engle and Russell (1994). The analysis considers the persistence of interventions by the Federal Reserve, the Bundesbank and the Swiss National Bank.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 1964.

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Date of creation: Sep 1998
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Handle: RePEc:cpr:ceprdp:1964

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Keywords: Duration; exchange rate intervention;

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Cited by:
  1. Kim, Suk-Joong & Pham, Cyril Minh Dao, 2006. "Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986-2003," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 446-467, December.
  2. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  3. Michel Beine & Agnès Bénassy-Quéré & Christelle Lecourt, 1999. "The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations," Working Papers 1999-14, CEPII research center.
  4. Dolado, Juan J & Maria-Dolores, Ramon, 2002. " Evaluating Changes in the Bank of Spain's Interest Rate Target: An Alternative Approach Using Marked Point Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(2), pages 159-82, May.
  5. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006.

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