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Accounting for Daily Bundesbank and federal reserve intervention : A friction model with a GARCH application

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  • Almekinders, G.J.
  • Eijffinger, S.C.W.

    (Tilburg University, Center For Economic Research)

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  • Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Accounting for Daily Bundesbank and federal reserve intervention : A friction model with a GARCH application," Discussion Paper 1994-44, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:bb8b5e66-935c-47c4-93c9-aabd3e5e1481
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    References listed on IDEAS

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    1. Klein, Michael W., 1993. "The accuracy of reports of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 644-653, December.
    2. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    3. Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 231-247, May.
    4. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    5. Edison, H.J., 1993. "The Effectiveness of Central-Bank Intervention: A Survey of the Litterature after 1982," Princeton Studies in International Economics 18, International Economics Section, Departement of Economics Princeton University,.
    6. 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, vol. 19(1), pages 111-130.
    7. 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, vol. 52(1-2), pages 5-59.
    8. Eijffinger, S.C.W., 1991. "Empirical evidence on foreign exchange market intervention : Where do we stand?," Other publications TiSEM e280156a-07fa-4c3e-aa4f-6, Tilburg University, School of Economics and Management.
    9. Forbes, Shawn M. & Mayne, Lucille S., 1989. "A friction model of the prime," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 127-135, March.
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    Cited by:

    1. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Other publications TiSEM 9f9b4890-d5b8-4e2d-9b9a-0, Tilburg University, School of Economics and Management.

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