Are Interventions Self Exciting?
The time pattern of official interventions on the foreign exchange market exhibits periods of intense activity followed by long spells of inaction. In this paper, we examine whether the time interval between successive intervention matters for future interventions. To capture the properties of intervention duration an ACD model is used. The data are daily observations of interventions by the Federal Reserve, the Bundesbank and the Swiss National Bank. The evidence finds that the intervention duration is highly persistent and that the hazard is time dependent.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 15 (2004)
Issue (Month): 3 (July)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/international+economics/journal/11079/PS2|