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Citations for "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market"

by Bonser-Neal, Catherine & Tanner, Glenn

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  1. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
  2. 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.
  3. Stefan Reitz , Mark P. Taylor, 2012. "FX Intervention in the Yen-US Dollar Market: A Coordination Channel Perspective," Kiel Working Papers 1765, Kiel Institute for the World Economy.
  4. Michel Beine & Christelle Lecourt, 2004. "Reported and secret interventions in the foreign exchange market," ULB Institutional Repository 2013/10427, ULB -- Universite Libre de Bruxelles.
  5. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  6. Hong Liang & Paul Cashin & Hali J. Edison, 2003. "Foreign Exchange Intervention and the Australian Dollar: Has it Mattered?," IMF Working Papers 03/99, International Monetary Fund.
  7. 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.
  8. Alain P. Chaboud & Owen Humpage, 2005. "An assessment of the impact of Japanese foreign exchange intervention: 1991-2004," International Finance Discussion Papers 824, Board of Governors of the Federal Reserve System (U.S.).
  9. 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.
  10. Christian A. Johnson, 2000. "Un Modelo de Intervención Cambiaria," Working Papers Central Bank of Chile 90, Central Bank of Chile.
  11. Owen F. Humpage, 1998. "The Federal Reserve as an informed foreign-exchange trader," Working Paper 9815, Federal Reserve Bank of Cleveland.
  12. Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance 0410008, EconWPA.
  13. Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS. The Post 1993 Experience," WIFO Working Papers 168, WIFO.
  14. Gabriele Galati & Patrick Higgins & Owen F. Humpage & William Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Paper 0618, Federal Reserve Bank of Cleveland.
  15. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
  16. Jean-Yves Gnabo & Christelle Lecourt, 2008. "Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan," Economie Internationale, CEPII research center, issue 113, pages 5-34.
  17. Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Paper 0315, Federal Reserve Bank of Cleveland.
  18. Morel, Christophe & Teiletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Economics Papers from University Paris Dauphine 123456789/12956, Paris Dauphine University.
  19. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
  20. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics 13/19, University of Canterbury, Department of Economics and Finance.
  21. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," Borradores de Economia 862, Banco de la Republica de Colombia.
  22. Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "The perils of a central bank's capital control: How substantial is the effect on firm value?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 111-135.
  23. Richard T. Baillie & Owen F. Humpage & William P. Osterberg, 1999. "Intervention as information: a survey," Working Paper 9918, Federal Reserve Bank of Cleveland.
  24. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  25. Jean-Yves Gnabo & Jér�me Lahaye & Sébastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
  26. Pierre L. Siklos & Diana N. Weymark, 2007. "Is Sterilized Intervention Effective? New International Evidence," Working Papers 142007, Hong Kong Institute for Monetary Research.
  27. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo Group Munich.
  28. Rasmus Fatum & Michael M. Hutchison, 2006. "Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects," EPRU Working Paper Series 06-04, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  29. Piti Disyatat & Gabriele Galati, 2005. "The effectiveness of foreign exchange intervention in emerging market countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 97-113 Bank for International Settlements.
  30. Michel Beine & Sébastien Laurent & Christelle Lecourt, 2003. "Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis," ULB Institutional Repository 2013/10437, ULB -- Universite Libre de Bruxelles.
  31. Liu, Li-Gang & Pauwels, Laurent, 2011. "Do External Political Pressures Affect the Renminbi Exchange Rate?," Working Papers 1 OMEWP, University of Sydney Business School, Discipline of Business Analytics.
  32. Ghysels, Eric & Idier, Julien & Manganelli, Simone & Vergote, Olivier, 2013. "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers 9778, C.E.P.R. Discussion Papers.
  33. Seok Gil Park, 2007. "Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions," Caepr Working Papers 2007-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  34. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  35. Fatum, Rasmus & Scholnick, Barry, 2008. "Monetary policy news and exchange rate responses: Do only surprises matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
  36. Ozge Akinci & Olcay Yucel Culha & Umit Ozlale & Gulbin Sahinbeyoglu, 2005. "Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy," Working Papers 0505, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  37. Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series 0363, European Central Bank.
  38. P. Siklos, D. Waymark, 2006. "Measuring the Impact of Intervention on Exchange Market Pressure," Working Papers eg0048, Wilfrid Laurier University, Department of Economics, revised 2006.
  39. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
  40. BEINE, Michel & LAURENT, Sébastien, . "Central bank interventions and jumps in double long memory models of daily exchange rates," CORE Discussion Papers RP -1706, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  41. Beine, Michel, 2004. "Conditional covariances and direct central bank interventions in the foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1385-1411, June.
  42. Lukas Menkhoff, 2010. "High-Frequency Analysis Of Foreign Exchange Interventions: What Do We Learn?," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 85-112, 02.
  43. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher Neely & Franz Palm, 2007. "Central Bank intervention and exchange rate volatility: its continuous and jump components," ULB Institutional Repository 2013/10413, ULB -- Universite Libre de Bruxelles.
  44. 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.
  45. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
  46. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2007. "Intervention Policy of the BoJ: a Unified Approach," Working Papers CEB 07-013.RS, ULB -- Universite Libre de Bruxelles.
  47. Cheng, Ai-ru (Meg) & Das, Kuntal & Shimatani, Takeshi, 2013. "Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility," Journal of Asian Economics, Elsevier, vol. 28(C), pages 87-98.
  48. Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "Unremunerated reserve requirements, exchange rate volatility, and firm value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 358-378.
  49. 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.
  50. 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.
  51. Michel Beine & Sébastien Laurent & Franz Palm, . "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
  52. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
  53. 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.
  54. Beine, Michel & Janssen, Gust & Lecourt, Christelle, 2009. "Should central bankers talk to the foreign exchange markets?," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 776-803, September.
  55. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
  56. Dimitrios A. Sideris, 2007. "Foreign Exchange Intervention and Equilibrium Real Exchange Rates," Working Papers 56, Bank of Greece.
  57. Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
  58. Nikkinen, Jussi & Sahlstrom, Petri & Vahamaa, Sami, 2006. "Implied volatility linkages among major European currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 87-103, April.
  59. 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.
  60. Hillebrand, Eric & Schnabl, Gunther, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 0650, European Central Bank.
  61. Beine, Michel & Benassy-Quere, Agnes & MacDonald, Ronald, 2007. "The impact of central bank intervention on exchange-rate forecast heterogeneity," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 38-63, March.
  62. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan.
  63. repec:dgr:uvatin:20050103 is not listed on IDEAS
  64. Ehrmann, Michael & Fratzscher, Marcel, 2002. "Interdependence between the euro area and the US: what role for EMU?," Working Paper Series 0200, European Central Bank.
  65. Chmelarova, Viera & Schnabl, Gunther, 2006. "Exchange rate stabilization in developed and underdeveloped capital markets," Working Paper Series 0636, European Central Bank.
  66. repec:onb:oenbwp:y::i:55:b:1 is not listed on IDEAS
  67. Rasmus Fatum & Michael M. Hutchison, 2003. "Is sterilised foreign exchange intervention effective after all? an event study approach," Economic Journal, Royal Economic Society, vol. 113(487), pages 390-411, 04.
  68. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Papers 2013-10-14, Working Paper.
  69. Capraro Rodríguez Santiago & Perrotini Hernández Ignacio, 2012. "Intervenciones cambiarias esterilizadas, teoría y evidencia:el caso de México," Contaduría y Administración:Revista Internacional, Accounting and Management: International Journal, vol. 57(2), pages 11-44, abril-jun.
  70. Kentaro Iwatsubo & Satoshi Kawanishi, 2011. "The Information Improving Channel of Exchange Rate Intervention: How Do Official Announcements Work?," Discussion Papers 1116, Graduate School of Economics, Kobe University.
  71. Brissimis, Sophocles N. & Chionis, Dionysios P., 2004. "Foreign exchange market intervention: implications of publicly announced and secret intervention for the euro exchange rate and its volatility," Journal of Policy Modeling, Elsevier, vol. 26(6), pages 661-673, September.
  72. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 146-167, February.
  73. Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy.
  74. Simatele, Munacinga C H, 2004. "Financial sector reforms and monetary policy reforms in Zambia," MPRA Paper 21575, University Library of Munich, Germany.
  75. 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.
  76. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
  77. Kiss M., Norbert, 2005. "A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások
    [Effectiveness of central-bank intervention on foreign-exchange markets. International experienc
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 846-872.
  78. 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.
  79. Yushi Yoshida & Jan C. Rülke, 2009. "On-Going versus Completed Interventions and Yen/Dollar Expectations - Evidence from Disaggregated Survey Data," Discussion Papers 35, Kyushu Sangyo University, Faculty of Economics, revised Dec 2009.
  80. Fratzscher, Marcel, 2005. "Strategies of exchange rate policy in G3 economies," Economics Letters, Elsevier, vol. 89(1), pages 68-74, October.
  81. Neil, Beattie & Fillion, Jean-François, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Working Papers 99-4, Bank of Canada.
  82. Castillo, Carlos, 2014. "Inflation targeting and exchange rate volatility smoothing: A two-target, two-instrument approach," Economic Modelling, Elsevier, vol. 43(C), pages 330-345.
  83. Sapp, Stephen, 2004. "Are all Central Bank interventions created equal? An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 443-474, March.
  84. Bahram Adrangi & Mary Allender & Kambiz Raffiee, 2011. "An Ex-Post Empirical Investigation of the Efficacy of Central Bank Interventions in Currency Markets: Bilateral Exchange Rate of the Dollar," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 19-34, August.
  85. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
  86. Suardi, Sandy, 2008. "Central bank intervention, threshold effects and asymmetric volatility: Evidence from the Japanese yen-US dollar foreign exchange market," Economic Modelling, Elsevier, vol. 25(4), pages 628-642, July.
  87. repec:wyi:journl:002068 is not listed on IDEAS
  88. Michel Beine & Agnes Bénassy-Quéré & Christelle Lecourt, 2002. "Central Bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," ULB Institutional Repository 2013/10445, ULB -- Universite Libre de Bruxelles.
  89. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2003. "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. 139(4), pages 709-729, December.
  90. 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.
  91. 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.
  92. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
  93. Sweeney, Richard J., 2007. "Fed intervention, dollar appreciation, and systematic risk," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 167-192, March.
  94. 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.
  95. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  96. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December.
  97. 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.
  98. Michel Beine & Agnès Bénassy-Quéré & Christelle Lecourt, 1999. "The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations," Working Papers 1999-14, CEPII research center.
  99. Nikolaos Antonakakis, 2010. "Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables," Working Papers 1002, University of Strathclyde Business School, Department of Economics.
  100. repec:dgr:uvatin:2005103 is not listed on IDEAS
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