Ocial Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables
AbstractThis paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate fficial interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.
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Bibliographic InfoPaper provided by Scottish Institute for Research in Economics (SIRE) in its series SIRE Discussion Papers with number 2010-07.
Date of creation: 2010
Date of revision:
Central bank interventions; Foreign exchange; Multivariate GARCH; Conditional correlations;
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