This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Central bank intervention and overnight uncovered interest rate parity Author info | Abstract | Publisher info | Download info | Related research | Statistics Richard T. Baillie
William P. Osterberg
Additional information is available for the following
registered author(s):
This paper considers the impact of U.S. and German central bank intervention on the risk premium in forward foreign exchange markets.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number
9823.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: 1998Date of revision:
Handle: RePEc:fip:fedcwp:9823Contact details of provider: Postal: 1455 East 6th St., Cleveland OH 44114 Phone: 216.579.2000 Web page: http://www.clevelandfed.org/ More information through EDIRC
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: (Diane Rosenberger).
Keywords: Foreign exchange - Law and legislation Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Froot, Kenneth A & Thaler, Richard H, 1990.
"Foreign Exchange ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 4(3), pages 179-92, Summer.
[Downloadable!] (restricted)
William P. Osterberg, 1989.
"Intervention and the risk premium in foreign exchange rates ,"
Working Paper
8908, Federal Reserve Bank of Cleveland.
[Downloadable!]
Hodrick, Robert J., 1989.
"Risk, uncertainty, and exchange rates ,"
Journal of Monetary Economics ,
Elsevier, vol. 23(3), pages 433-459, May.
[Downloadable!] (restricted)
Other versions: Zhuanxin Ding & Clive W.J. Granger, 1994.
"Modeling Volatility Persistence of Speculative Returns: A New Approach ,"
University of California at San Diego, Economics Working Paper Series
94-05, Department of Economics, UC San Diego.
Other versions: 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, issue May, pages 39-50.
Bekaert, Geert & Hodrick, Robert J., 1993.
"On biases in the measurement of foreign exchange risk premiums ,"
Journal of International Money and Finance ,
Elsevier, vol. 12(2), pages 115-138, April.
[Downloadable!] (restricted)
Other versions: Zhuanxin Ding & Clive Granger & Robert Engle, 1992.
"A Long Memory Property of Stock Market Returns and a New Model ,"
University of California at San Diego, Economics Working Paper Series
92-21, Department of Economics, UC San Diego.
Other versions: Domowitz, Ian & Hakkio, Craig S., 1985.
"Conditional variance and the risk premium in the foreign exchange market ,"
Journal of International Economics ,
Elsevier, vol. 19(1-2), pages 47-66, August.
[Downloadable!] (restricted)
Dominguez, Kathryn M & Frankel, Jeffrey A, 1993.
"Does Foreign-Exchange Intervention Matter? The Portfolio Effect ,"
American Economic Review ,
American Economic Association, vol. 83(5), pages 1356-69, December.
[Downloadable!] (restricted)
Owen F. Humpage, 1988.
"Intervention and the dollar's decline ,"
Economic Review ,
Federal Reserve Bank of Cleveland, issue Q II, pages 2-16.
[Downloadable!]
Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity ,"
Journal of Econometrics ,
Elsevier, vol. 74(1), pages 3-30, September.
[Downloadable!] (restricted)
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.
[Downloadable!] (restricted)
Tim Bollerslev & Jeffrey M. Wooldridge, 1988.
"Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances ,"
Working papers
505, Massachusetts Institute of Technology (MIT), Department of Economics.
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, vol. 37(3), pages 693-715, June.
[Downloadable!] (restricted)
Kaminsky, G.L. & Lewis, K.K., 1992.
"Does Foreign Exchange Intervention Signal Future Monetary Policy? ,"
Weiss Center Working Papers
93-3, Wharton School - Weiss Center for International Financial Research.
Other versions:
Graciela L. Kaminsky & Karen K. Lewis, 1993.
"Does foreign exchange intervention signal future monetary policy? ,"
Finance and Economics Discussion Series
93-1, Board of Governors of the Federal Reserve System (U.S.).
Graciela Kaminsky & Karen K. Lewis, 1993.
"Does Foriegn Exchange Intervention Signal Future Monetary Policy ,"
NBER Working Papers
4298, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Graciela L. Kaminsky & Karen K. Lewis, 1996.
"Does foreign exchange intervention signal future monetary policy? ,"
Working Papers
96-7, Federal Reserve Bank of Philadelphia.
Kaminsky, Graciela L. & Lewis, Karen K., 1996.
"Does foreign exchange intervention signal future monetary policy? ,"
Journal of Monetary Economics ,
Elsevier, vol. 37(2-3), pages 285-312, April.
[Downloadable!] (restricted) Maurice Obstfeld, 1991.
"The Effectiveness of Foreign-Exchange Intervention: Recent Experience ,"
NBER Working Papers
2796, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Klein, Michael W., 1992.
"Big effects of small interventions: The informational role of intervention in exchange rate policy ,"
European Economic Review ,
Elsevier, vol. 36(4), pages 915-924, May.
[Downloadable!] (restricted)
Humpage, Owen F. & Osterberg, William P., 1992.
"Intervention and the foreign exchange risk premium: An empirical investigation of daily effects ,"
Global Finance Journal ,
Elsevier, vol. 3(1), pages 23-50.
[Downloadable!] (restricted)
Dominguez, Kathryn Mary, 1990.
"Market responses to coordinated central bank intervention ,"
Carnegie-Rochester Conference Series on Public Policy ,
Elsevier, vol. 32, pages 121-163.
[Downloadable!] (restricted)
Baillie, Richard T. & P. Osterberg, William, 1997.
"Central bank intervention and risk in the forward market ,"
Journal of International Economics ,
Elsevier, vol. 43(3-4), pages 483-497, November.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Michel Beine & Agnes Benassy-Quere & Christelle Lecourt, 1999.
"The impact of foreign exchange interventions: new evidence from FIGARCH estimations ,"
Working Papers
1999-14, CEPII research center.
[Downloadable!]
Alex Luiz Ferreira, 2004.
"Leaning Against the Parity ,"
Studies in Economics
0413, Department of Economics, University of Kent.
[Downloadable!]
Access and
download statistics Did you know? IDEAS uses the data collected within the RePEc project , the largest online bibliographic database in Economics.
This page was last updated on 2008-7-23.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .