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| Author: | Beine, M. Laurent, S. Lecourt, C. |
| Title: | Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis |
| Journal: | European Economic Review
2003 : OCT, VOL. 47:5, p. 891-911 |
| Index terms: | Banking Central banks Currency Exchange rates Volatility |
| Language: | eng |
| Abstract: | This paper investigates the effect of central bank interventions on the weekly returns and volatility of the DEM/USD and YEN/USD exchange rate returns. In contrast with previous analyses, it allows for regime-dependent specifications and investigates whether official interventions can explain the observed volatility regime switches. It is found that, depending on the prevailing volatility level, co-ordinated central bank interventions can lead to either a stabilizing or a destabilizing effect. This paper's results lead to challenge the usual view that such interventions always imply increases in volatility. |
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