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Accounting for Daily Bundesbank and federal reserve intervention: A friction model with a GARCH application

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  • Almekinders, G.J.
  • Eijffinger, S.C.W.

    (Tilburg University, Center for Economic Research)

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1994-44.

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Date of creation: 1994
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Handle: RePEc:dgr:kubcen:199444

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Web page: http://center.uvt.nl

Related research

Keywords: Exchange Rate; Central Banks; GARCH Models;

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References

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  1. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
  2. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
  3. Klein, Michael W., 1993. "The accuracy of reports of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 644-653, December.
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  5. Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 231-47, May.
  6. Eijffinger, S.C.W., 1991. "Empirical evidence on foreign exchange market intervention: Where do we stand?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-152907, Tilburg University.
  7. William P. Osterberg & Rebecca Wetmore Humes, 1993. "The inaccuracy of newspaper reports of U.S. foreign exchange intervention," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 25-33.
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Cited by:
  1. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Discussion Paper 1994-101, Tilburg University, Center for Economic Research.

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