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A friction model of daily Bundesbank and Federal Reserve intervention

  • Almekinders, Geert J.
  • Eijffinger, Sylvester C. W.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3VWTCTT-4/2/a0d38d467c5e469b046ac9bc445196bd
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 20 (1996)
Issue (Month): 8 (September)
Pages: 1365-1380

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Handle: RePEc:eee:jbfina:v:20:y:1996:i:8:p:1365-1380
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. A. Blundell-Wignall & P. R. Masson, 1985. "Exchange Rate Dynamics and Intervention Rules (Dynamique des taux de change et règles d'intervention) (Dinámica del tipo de cambio y normas de intervención)," IMF Staff Papers, Palgrave Macmillan, vol. 32(1), pages 132-159, March.
  2. 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.
  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 231-47, May.
  4. 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.
  5. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
  6. 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, issue Q IV, pages 25-33.
  7. 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?," Other publications TiSEM e583abfb-39f0-4c9d-8848-5, Tilburg University, School of Economics and Management.
  8. repec:ner:tilbur:urn:nbn:nl:ui:12-152910 is not listed on IDEAS
  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.
  10. 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.
  11. repec:ner:tilbur:urn:nbn:nl:ui:12-152907 is not listed on IDEAS
  12. 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.
  13. 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.
  14. Kodde, David A & Palm, Franz C, 1986. "Wald Criteria for Jointly Testing Equality and Inequality Restriction s," Econometrica, Econometric Society, vol. 54(5), pages 1243-48, September.
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