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Intervention strategies and exchange rate volatility: a noise trading perspective

  • HUNG, JUANN H
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-3SX1JBC-7/2/2482797318fbe56b0762e7c5c19e35ab
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 16 (1997)
    Issue (Month): 5 (September)
    Pages: 779-793

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    Handle: RePEc:eee:jimfin:v:16:y:1997:i:5:p:779-793
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. Hali J. Edison, 1990. "Foreign currency operations: an annotated bibliography," International Finance Discussion Papers 380, Board of Governors of the Federal Reserve System (U.S.).
    2. Michael W. Klein, 1992. "The Accuracy of Reports of Foreign Exchange Intervention," NBER Working Papers 4165, National Bureau of Economic Research, Inc.
    3. 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.
    4. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
    5. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    6. Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 853-878, December.
    7. Juann H. Hung, 1991. "The effectiveness of sterilized U.S. foreign exchange intervention, an empirical study based on the noise trading approach," Research Paper 9118, Federal Reserve Bank of New York.
    8. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
    9. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
    10. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    11. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
    12. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
    13. Taylor, Mark P, 1989. "Charts, Noise and Fundamentals: A Study of the London Foreign Exchange Market," CEPR Discussion Papers 341, C.E.P.R. Discussion Papers.
    14. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
    15. Juann H. Hung, 1991. "Noise trading and the effectiveness of sterilized foreign exchange intervention," Research Paper 9111, Federal Reserve Bank of New York.
    16. Richard T. Baillie & Owen F. Humpage, 1992. "Post-Louvre intervention: did target zones stabilize the dollar?," Working Paper 9203, Federal Reserve Bank of Cleveland.
    17. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
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