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Central Bank intervention and foreign exchange rates: new evidence from FIGARCH estimations

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Cited by:

  1. 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.
  2. Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
  3. Jeffrey Frankel, 2021. "Systematic Managed Floating," World Scientific Book Chapters, in: Steven J Davis & Edward S Robinson & Bernard Yeung (ed.), THE ASIAN MONETARY POLICY FORUM Insights for Central Banking, chapter 5, pages 160-221, World Scientific Publishing Co. Pte. Ltd..
  4. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
  5. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  6. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
  7. 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.
  8. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
  9. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 201-223.
  10. Eria Hisali, 2012. "The Efficacy Of Central Bank Intervention On The Foreign Exchange Market: Uganda'S Experience," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 185-207, March.
  11. Mauricio Villamizar-Villegas & David Perez-Reyna, 2017. "A Theoretical Approach To Sterilized Foreign Exchange Intervention," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 343-365, February.
  12. 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.
  13. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
  14. 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.
  15. 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.
  16. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
  17. 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.
  18. 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, August.
  19. Han, Young Wook, 2007. "High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates," Japan and the World Economy, Elsevier, vol. 19(2), pages 248-262, March.
  20. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  21. Solomiia Brychka & Denys Klynovskyi & Dmytro Krukovets & Artem Oharkov, 2019. "Meta-Analysis: Meta-Analysis: Effect of FX interventions on the exchange rate," Modern Economic Studies, Kyiv School of Economics, vol. 2(1), pages 24-44.
  22. 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.
  23. Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
  24. Marcel Fratzscher, 2008. "Oral Interventions Versus Actual Interventions in Fx Markets - An Event-Study Approach," Economic Journal, Royal Economic Society, vol. 118(530), pages 1079-1106, July.
  25. Beine, Michel, 2003. "Volatility expectations and asymmetric effects of direct interventions in the FX market," Journal of the Japanese and International Economies, Elsevier, vol. 17(1), pages 55-80, March.
  26. Hoshikawa, Takeshi, 2008. "The effect of intervention frequency on the foreign exchange market: The Japanese experience," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 547-559, June.
  27. Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
  28. 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.
  29. 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.
  30. González-Pla, Francisco & Lovreta, Lidija, 2019. "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  31. Michel Beine & Ariane Szafarz, 2006. "Size matters: Central bank interventions on the Yen/Dollar exchange rate," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(1), pages 5-20.
  32. 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.
  33. Young Wook Han, 2010. "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 375-396.
  34. Georgios Chortareas & Ying Jiang & John C. Nankervis, 2013. "Volatility and Spillover Effects of Yen Interventions," Review of International Economics, Wiley Blackwell, vol. 21(4), pages 671-689, September.
  35. Christian Pierdzioch & Georg Stadtmann, 2004. "The Effectiveness of the Interventions of the Swiss National Bank - An Event-Study Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(II), pages 229-244, June.
  36. Chen, Xuehui & Zhu, Hongli & Zhang, Xinru & Zhao, Lutao, 2022. "A novel time-varying FIGARCH model for improving volatility predictions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  37. Frankel, Jeffrey, 2015. "The Plaza Accord, 30 Years Later," Working Paper Series 15-056, Harvard University, John F. Kennedy School of Government.
  38. 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.
  39. Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 815-842, Diciembre.
  40. 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.
  41. Ghosh, Sunandan & Kundu, Srikanta, 2019. "Central Bank Intervention in Foreign Exchange Market under Managed Float: A Three Regime Threshold VAR Analysis of Indian Rupee-US Dollar Exchange Rate," MPRA Paper 93466, University Library of Munich, Germany.
  42. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
  43. 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.
  44. Beine, Michel & Bernal, Oscar & Gnabo, Jean-Yves & Lecourt, Christelle, 2009. "Intervention policy of the BoJ: A unified approach," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 904-913, May.
  45. Domac, Ilker & Mendoza, Alfonso, 2004. "Is there room for foreign exchange interventions under an inflation targeting framework ? Evidence from Mexico and Turkey," Policy Research Working Paper Series 3288, The World Bank.
  46. Moura, Marcelo L. & Pereira, Fatima R. & Attuy, Guilherme de Moraes, 2013. "Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy," Insper Working Papers wpe_304, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  47. Ai-Chi Hsu & Fiesty Utami, 2016. "Central Bank Intervention and Stock Market Response," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 2(5), pages 151-161.
  48. Mauricio Lopera Castano & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londono Henao, 2013. "Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, May.
  49. Lee, Hsiu-Yun & Lai, Hung-Pin, 2011. "A structural threshold model of the exchange rate under optimal intervention," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 931-946, October.
  50. 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.
  51. Gulcay Tuna PAYASLIOGLU, 2001. "The Effectiveness Of Central Bank Intervention on Exchange Rate Volatility: Evidence from Turkey," Middle East and North Africa 330400050, EcoMod.
  52. Sandun Perera & Winston Buckley & Hongwei Long, 2018. "Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps," Annals of Operations Research, Springer, vol. 262(1), pages 213-238, March.
  53. Antonakakis, Nikolaos, 2010. "Ocial Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables," SIRE Discussion Papers 2010-07, Scottish Institute for Research in Economics (SIRE).
  54. Polterovich, Victor & Popov, Vladimir, 2003. "Accumulation of Foreign Exchange Reserves and Long Term Growth," MPRA Paper 20069, University Library of Munich, Germany.
  55. Arango-Lozano, Lucía & Menkhoff, Lukas & Rodríguez-Novoa, Daniela & Villamizar-Villegas, Mauricio, 2024. "The effectiveness of FX interventions: A meta-analysis," Journal of Financial Stability, Elsevier, vol. 74(C).
  56. 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.
  57. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2014. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 6, pages 189-216, World Scientific Publishing Co. Pte. Ltd..
  58. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
  59. Heni Boubaker & Bassem Saidane & Mouna Ben Saad Zorgati, 2022. "Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.
  60. 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.
  61. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
  62. repec:dau:papers:123456789/12956 is not listed on IDEAS
  63. Huang, Zhaodan, 2007. "The central bank and speculators in the foreign exchange market under asymmetric information: A strategic approach and evidence," Journal of Economics and Business, Elsevier, vol. 59(1), pages 28-50.
  64. Srđan Marinković, 2014. "Non-Parametric Sign Test And Paired Samples Test Of Effectiveness Of Official Fx Intervention," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 59(202), pages 107-130, July – Se.
  65. Michel Beine & Sébastien Laurent & Franz Palm, 2007. "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
  66. Mrs. Gilda C Fernandez & Mr. Cem Karacadag & Rupa Duttagupta, 2004. "From Fixed to Float: Operational Aspects of Moving towards Exchange Rate Flexibility," IMF Working Papers 2004/126, International Monetary Fund.
  67. Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
  68. 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.
  69. Watanabe, Toshiaki & Harada, Kimie, 2006. "Effects of the Bank of Japan's intervention on yen/dollar exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 99-111, March.
  70. Malinda & Maya & Jo-Hui & Chen, 2022. "Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-6.
  71. Fratzscher, Marcel, 2008. "Communication and exchange rate policy," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1651-1672, December.
  72. Beine, Michel & Lecourt, Christelle, 2004. "Reported and secret interventions in the foreign exchange markets," Finance Research Letters, Elsevier, vol. 1(4), pages 215-225, December.
  73. Onder Buberkoku, 2019. "Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 199-215.
  74. Pami Dua & Ritu Suri, 2019. "Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 102-136, April.
  75. Olga S. Kuznetsova & Sofiya R. Ulyanova, 2016. "The Impact Of A Central Bank’S Verbal Interventions On Stock Exchange Indices In A Resource Based Economy: The Evidence From Russia," HSE Working papers WP BRP 155/EC/2016, National Research University Higher School of Economics.
  76. Соломія Бричка & Денис Клиновський & Дмитро Круковець & Артем Огарков, 2019. "Мета-аналіз: ефект fx-інтервенцій на валютний курс," Suchasni ekonomichni doslidzhennja, Kyiv School of Economics, vol. 2(1), pages 24-47.
  77. Kisukyabo Simwaka & Leslie Kwacha Mkandawire, 2004. "The Efficacy of Foreign Exchange Market Intervention in Malawi," Macroeconomics 0407022, University Library of Munich, Germany.
  78. 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.
  79. Vitale, Paolo, 2006. "A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5729, C.E.P.R. Discussion Papers.
  80. Luis Alberiko & OlaOluwa S. Yaya & Olarenwaju I. Shittu, 2015. "Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data," NCID Working Papers 07/2015, Navarra Center for International Development, University of Navarra.
  81. Cavusoglu Nevin, 2011. "Exchange Rates and the Effectiveness of Actual and Oral Official Interventions: A Survey on Findings, Issues and Policy Implications," Global Economy Journal, De Gruyter, vol. 10(4), pages 1-42, January.
  82. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  83. 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;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 140(3), pages 709-729, September.
  84. Simwaka, Kisu, 2006. "The effectiveness of official intervention in foreign exchange market in Malawi," MPRA Paper 1123, University Library of Munich, Germany.
  85. Ilker Domac & Alfonso Mendoza, 2002. "Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey," Discussion Papers 0206, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  86. Zhang, Zhichao & Li, He & Zhang, Chuanjie, 2017. "Oral intervention in China: Efficacy of Chinese exchange rate communications," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 24-34.
  87. 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.
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