search query: @indexterm FOREIGN EXCHANGE MARKET / total: 170
reference: 10 / 170
| Author: | Rogers, J.M. Siklos, P.L. |
| Title: | Foreign exchange market intervention in two small open economies: the Canadian and Australian experience |
| Journal: | Journal of International Money and Finance
2003 : APR, VOL. 22:2, p. 393-416 |
| Index terms: | Central banks Foreign exchange market Open economy Volatility Australia Canada |
| Language: | eng |
| Abstract: | Intervention by the Bank of Canada and the Reserve Bank of Australia are examined for daily data from 1989 to 1998. Both central banks intervene in response to excessive exchange rate volatility and uncertainty. Volatility is the implied volatility of foreign currency futures options. Uncertainty is the kurtosis of the implied risk-neutral probability density functions. |
SCIMA