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Citations for "A friction model of daily Bundesbank and Federal Reserve intervention"

by Almekinders, Geert J. & Eijffinger, Sylvester C. W.

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  1. Gabriele Galati & Patrick Higgins & Owen Humpage & William Melick, 2007. "Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 225-247.
  2. Matthew S Malloy, 2013. "Factors Influencing Emerging Market Central Banks’ Decision to Intervene in Foreign Exchange Markets," IMF Working Papers 13/70, International Monetary Fund.
  3. Ito, Takatoshi & Yabu, Tomoyoshi, 2007. "What prompts Japan to intervene in the Forex market? A new approach to a reaction function," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 193-212, March.
  4. Mahalia Jackman, 2012. "Foreign exchange intervention in a small open economy with a long term peg," Economics Bulletin, AccessEcon, vol. 32(3), pages 2207-2219.
  5. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2013. "Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run," Ruhr Economic Papers 0428, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  6. Chih‐Nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2012. "A New Method for Identifying the Effects of Foreign Exchange Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1507-1533, December.
  7. Schmidt, Robert & Wollmershäuser, Timo, 2004. "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," W.E.P. - Würzburg Economic Papers 50, University of Würzburg, Chair for Monetary Policy and International Economics.
  8. repec:onb:oenbwp:y::i:77:b:1 is not listed on IDEAS
  9. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
  10. Srinivasan, Naveen & Kumar, Sudhanshu, 2012. "Zone-quadratic preference, asymmetry and international reserve accretion in India: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 253-263.
  11. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.
  12. Douglas James Hodgson, 2009. "A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada," CIRANO Working Papers 2009s-14, CIRANO.
  13. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," BORRADORES DE ECONOMIA 012424, BANCO DE LA REPÚBLICA.
  14. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2004. "Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 140(3), pages 709-729, September.
  15. Bernal, Oscar & Gnabo, Jean-Yves, 2009. "Announcements, financial operations or both? Generalizing central banks' FX reaction functions," Journal of the Japanese and International Economies, Elsevier, vol. 23(4), pages 367-394, December.
  16. Michel Beine, 2004. "Conditional covariance and direct Central Bank intervention in the foreign exchange markets," ULB Institutional Repository 2013/10431, ULB -- Universite Libre de Bruxelles.
  17. Posch, Peter N., 2011. "Time to change. Rating changes and policy implications," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 641-656.
  18. Galati, Gabriele & Melick, William & Micu, Marian, 2005. "Foreign exchange market intervention and expectations: The yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 982-1011, October.
  19. Lee, Hsiu-Yun, 2011. "Nonlinear exchange rate dynamics under stochastic official intervention," Economic Modelling, Elsevier, vol. 28(4), pages 1510-1518, July.
  20. Douglas, Christopher C. & Kolar, Marek, 2009. "Capturing the time dynamics of central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 950-968, December.
  21. Fatum, Rasmus & Hutchison, Michael M., 2006. "Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects," Santa Cruz Department of Economics, Working Paper Series qt02c028gr, Department of Economics, UC Santa Cruz.
  22. Pontines, Victor & Siregar, Reza Y., 2012. "Fear of appreciation in East and Southeast Asia: The role of the Chinese renminbi," Journal of Asian Economics, Elsevier, vol. 23(4), pages 324-334.
  23. Kim, Suk-Joong & Sheen, Jeffrey, 2006. "Interventions in the Yen-dollar spot market: A story of price, volatility and volume," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3191-3214, November.
  24. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2003. "The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility," Kiel Working Papers 1165, Kiel Institute for the World Economy.
  25. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "On the evolution of U.S. foreign-exchange-market intervention: thesis, theory, and institutions," Working Paper 1113, Federal Reserve Bank of Cleveland.
  26. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," CREA Discussion Paper Series 08-15, Center for Research in Economic Analysis, University of Luxembourg.
  27. Jonathan Kearns & Roberto Rigobon, 2003. "Identifying the Efficacy of Central Bank Interventions: Evidence from Australia," RBA Research Discussion Papers rdp2003-04, Reserve Bank of Australia.
  28. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39.
  29. Kim, Suk-Joong & Sheen, Jeffrey, 2002. "The determinants of foreign exchange intervention by central banks: evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 619-649, October.
  30. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers 2000-018, Federal Reserve Bank of St. Louis.
  31. Nikolaou, Kleopatra, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 0667, European Central Bank.
  32. Adam Klug & Gregor W. Smith, 1999. "Suez and Sterling, 1956," Working Papers 1256, Queen's University, Department of Economics.
  33. Jonathan Kearns & Roberto Rigobon, 2002. "Identifying the Efficacy of Central Bank Interventions: The Australian Case," NBER Working Papers 9062, National Bureau of Economic Research, Inc.
  34. Peter Brandner & Harald Grech, 2002. "Why did Central Banks Intervenein the EMS? The Post 1993 Experience," Working Papers 77, Oesterreichische Nationalbank (Austrian Central Bank).
  35. Horvath, Roman, 2006. "Modelling Central Bank Intervention Activity under Inflation Targeting," MPRA Paper 914, University Library of Munich, Germany.
  36. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2004. "On the determinants of "small" and "large" foreign exchange market interventions: The case of the Japanese interventions in the 1990s," Review of Financial Economics, Elsevier, vol. 13(3), pages 231-243.
  37. Victor Pontines & Reza Y. Siregar, 2012. "Exchange Rate Asymmetry and Flexible Exchange Rates under Inflation Targeting Regimes: Evidence from Four East and Southeast Asian Countries," Review of International Economics, Wiley Blackwell, vol. 20(5), pages 893-908, November.
  38. Jeff M. Rogers & Pierre Siklos, 2001. "Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience," Research Paper Series 57, Quantitative Finance Research Centre, University of Technology, Sydney.
  39. Kim, Suk-Joong & Pham, Cyril Minh Dao, 2006. "Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986-2003," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 446-467, December.
  40. Michel Beine & Oscar Bernal & Jean-Yves Gnabo & Christelle Lecourt, 2007. "Intervention Policy of the BoJ: a Unified Approach," LSF Research Working Paper Series 07-19, Luxembourg School of Finance, University of Luxembourg.
  41. Nikolaou, Kleopatra, 2008. "The behaviour of the real exchange rate: Evidence from regression quantiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 664-679, May.
  42. Mark P. Taylor & Lucio Sarno, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, vol. 39(3), pages 839-868, September.
  43. Peter Brandner & Harald Grech, 2002. "Why Did Central Banks Intervene in the EMS? The Post-1993 Experience," WIFO Working Papers 192, WIFO.
  44. Jean-Yves Gnabo & Luiz de Mello & Diego Moccero, 2010. "Interdependencies between Monetary Policy and Foreign Exchange Interventions under Inflation Targeting: The Case of Brazil and the Czech Republic," International Finance, Wiley Blackwell, vol. 13(2), pages 195-221, 08.
  45. Ana Maria Herrera & Pinar Ozbay, 2005. "A Dynamic Model of Central Bank Intervention," Working Papers 0501, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  46. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers 07-03.RS, ULB -- Universite Libre de Bruxelles.
  47. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities' reaction functions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 680-698, September.
  48. Kim, Suk-Joong & Sheen, Jeffrey, 2004. "Central Bank Interventions in the Yen-Dollar Spot Market," Working Papers 4, University of Sydney, School of Economics.
  49. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
  50. Chen, Ho-Chyuan & Chang, Kuang-Liang & Yu, Shih-Ti, 2012. "Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions," Japan and the World Economy, Elsevier, vol. 24(4), pages 274-282.
  51. Kim, Suk-Joong, 2007. "Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 341-360, October.
  52. repec:ebl:ecbull:v:6:y:2007:i:29:p:1-8 is not listed on IDEAS
  53. Hall, Yosuke & Kim, Suk-Joong, 2009. "What drives Yen interventions in Tokyo?: Do off-shore foreign exchange markets matter more than Tokyo market?," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 175-188, April.
  54. Jun, Jongbyung, 2008. "Friction model and foreign exchange market intervention," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 477-489.
  55. Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
  56. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2004. "Modeling the intensity of foreign exchange intervention activity," Economics Letters, Elsevier, vol. 85(3), pages 347-351, December.
  57. Oscar Bernal Diaz, 2006. "Do interactions between political authorities and central banks influence FX interventions? Evidence from Japan," DULBEA Working Papers 06-03.RS, ULB -- Universite Libre de Bruxelles.
  58. Neely, Christopher J., 2002. "The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits," Journal of International Economics, Elsevier, vol. 58(1), pages 211-232, October.
  59. Michel Beine & Ariane Szafarz, 2003. "The design of effective Central Bank interventions: the yen/dollar case," Working Papers CEB 03-008.RS, ULB -- Universite Libre de Bruxelles.
  60. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group.
  61. Douglas Hodgson, 2011. "A test for the presence of central bank intervention in the foreign exchange market with an application to the Bank of Canada," Empirical Economics, Springer, vol. 41(3), pages 681-701, December.
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