Daily Bundesbank and Federal Reserve intervention and the conditional variance tale in DM/$-returns
AbstractThis paper reports on the results of an empirical investigation into the objectives of daily foreign exchange market intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. dollar-deutsche mark market. Tobit analysis is implemented to estimate the intervention reaction functions consistently. It is found that an increase in the conditional variance in daily exchange rate returns derived from a GARCH model estimated in the paper, led the Bundesbank and the Federal Reserve to increase the volume of intervention, both in case of dollar-sales and purchases on account of their leaning against the wind policy.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 438.
Date of creation: 1992
Date of revision:
Other versions of this item:
- Almekinders, G.J. & Eijffinger, S.C.W., 1992. "Daily Bundesbank and federal reserve intervention and the conditional variance tale in DM/$-returns," Research Memorandum 554, Tilburg University, Faculty of Economics and Business Administration.
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