A friction model of daily Bundesbank and Federal Reserve intervention
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-73527.
Date of creation: 1996
Date of revision:
Publication status: Published in Journal of Banking and Finance (1996) v.20, p.1365-1380
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Web page: http://www.tilburguniversity.edu/
Other versions of this item:
- Almekinders, Geert J. & Eijffinger, Sylvester C. W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(8), pages 1365-1380, September.
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.:
- Baillie, Richard T & Bollerslev, Tim, 2002.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
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- Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(3), pages 297-305, July.
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- Eijffinger, S.C.W., 1991. "Empirical evidence on foreign exchange market intervention: Where do we stand?," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-152907, Tilburg University.
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- Almekinders, G.J. & Eijffinger, S.C.W., 1994.
"Daily Bundesbank and federal reserve interventions: Are they a reaction to changes in the level and volatility of the DM/$-rate?,"
Open Access publications from Tilburg University, Tilburg University
urn:nbn:nl:ui:12-152910, Tilburg University.
- Almekinders, Geert J & Eijffinger, Sylvester C W, 1994. "Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?," Empirical Economics, Springer, Springer, vol. 19(1), pages 111-30.
- Kodde, David A & Palm, Franz C, 1986. "Wald Criteria for Jointly Testing Equality and Inequality Restriction s," Econometrica, Econometric Society, Econometric Society, vol. 54(5), pages 1243-48, September.
- 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, Elsevier, vol. 52(1-2), pages 5-59.
- Mark P. Taylor & Ronald MacDonald, 1991.
"Exchange Rate Economics: A Survey,"
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91/62, International Monetary Fund.
- Forbes, Shawn M. & Mayne, Lucille S., 1989. "A friction model of the prime," Journal of Banking & Finance, Elsevier, Elsevier, vol. 13(1), pages 127-135, March.
- 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.
- A. Blundell-Wignall & P. R. Masson, 1985. "Exchange Rate Dynamics and Intervention Rules (Dynamique des taux de change et rÃ¨gles d'intervention) (DinÃ¡mica del tipo de cambio y normas de intervenciÃ³n)," IMF Staff Papers, Palgrave Macmillan, vol. 32(1), pages 132-159, March.
- 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, Federal Reserve Bank of Cleveland, issue Q IV, pages 25-33.
- Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 25(2), pages 231-47, May.
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