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Central bank intervention and overnight uncovered interest rate parity

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  • Richard T. Baillie
  • William P. Osterberg

Abstract

This paper considers the impact of U.S. and German central bank intervention on the risk premium in forward foreign exchange markets.

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File URL: http://www.clevelandfed.org/research/workpaper/1998/Wp9823.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9823.

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Date of creation: 1998
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Handle: RePEc:fip:fedcwp:9823

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Related research

Keywords: Foreign exchange - Law and legislation;

References

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  1. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(3), pages 307-17, July.
  2. Owen F. Humpage & William P. Osterberg, 1990. "Intervention and the foreign exchange risk premium: an empirical investigation of daily effects," Working Paper 9009, Federal Reserve Bank of Cleveland.
  3. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, American Finance Association, vol. 37(3), pages 693-715, June.
  4. Owen F. Humpage, 1988. "Intervention and the dollar's decline," Economic Review, Federal Reserve Bank of Cleveland, Federal Reserve Bank of Cleveland, issue Q II, pages 2-16.
  5. Kathryn M. Dominguez, 1989. "Market Responses To Coordinated Central Bank Intervention," NBER Working Papers 3192, National Bureau of Economic Research, Inc.
  6. Klein, Michael W., 1992. "Big effects of small interventions: The informational role of intervention in exchange rate policy," European Economic Review, Elsevier, Elsevier, vol. 36(4), pages 915-924, May.
  7. Graciela L. Kaminsky & Karen K. Lewis, 1996. "Does foreign exchange intervention signal future monetary policy?," Working Papers 96-7, Federal Reserve Bank of Philadelphia.
  8. Michael W. Klein & Eric S. Rosengren, 1991. "Foreign exchange intervention as a signal of monetary policy," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue May, pages 39-50.
  9. Dominguez, Kathryn M & Frankel, Jeffrey A, 1993. "Does Foreign-Exchange Intervention Matter? The Portfolio Effect," American Economic Review, American Economic Association, American Economic Association, vol. 83(5), pages 1356-69, December.
  10. Maurice Obstfeld, 1988. "The Effectiveness of Foreign-Exchange Intervention: Recent Experience," NBER Working Papers 2796, National Bureau of Economic Research, Inc.
  11. Robert J. Hodrick, 1987. "Risk, Uncertainty and Exchange Rates," NBER Working Papers 2429, National Bureau of Economic Research, Inc.
  12. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, Elsevier, vol. 43(3-4), pages 483-497, November.
  13. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 3-30, September.
  14. Ross Levine, 1987. "The pricing of forward exchange rates," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 312, Board of Governors of the Federal Reserve System (U.S.).
  15. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
  16. William P. Osterberg, 1989. "Intervention and the risk premium in foreign exchange rates," Working Paper 8908, Federal Reserve Bank of Cleveland.
  17. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, Elsevier, vol. 19(1-2), pages 47-66, August.
  18. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(1), pages 83-106, June.
  19. Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
  20. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 185-215, July.
  21. Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 4(3), pages 179-92, Summer.
  22. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 505, Massachusetts Institute of Technology (MIT), Department of Economics.
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Citations

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Cited by:
  1. Beine, Michel & Benassy-Quere, Agnes & Lecourt, Christelle, 2002. "Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(1), pages 115-144, February.
  2. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics, Department of Economics, University of Kent 0413, Department of Economics, University of Kent.

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