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Does Central Bank Intervention Influence the Probability of a Speculative Attack? Evidence from the EMS

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Abstract

This paper studies the effects of central bank intervention during the 1992- 1993 EMS crises on the D-mark/peseta and D-mark/French franc exchange rate. In particular, it is analyzed how interventions affected the probability of a speculative attack and market participants’ expectations about realignments. The findings provide evidence that interventions seem to have increased both the expected realignment rate and the probability of a speculative attack. Furthermore, there is some evidence that this effect arises for publicly known but not for secret interventions.

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File URL: http://www.oenb.at/dms/oenb/Publikationen/Volkswirtschaft/Working-Papers/2002/Working-Paper-80/fullversion/wp80_tcm16-6173.pdf
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Bibliographic Info

Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 80.

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Date of creation: 04 Nov 2002
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Handle: RePEc:onb:oenbwp:80

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Related research

Keywords: Foreign Exchange Intervention; European Monetary System; Markov Switching;

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Cited by:
  1. Grech, Harald & Stix, Helmut & Brandner, Peter, 2001. "The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience," Working Papers 55, Oesterreichische Nationalbank (Austrian Central Bank).
  2. Ales Bulir, 2004. "Liberalized Markets Have More Stable Exchange Rates: Short-Run Evidence from Four Transition Countries," IMF Working Papers 04/35, International Monetary Fund.

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