haku: @journal_id 1229 / yhteensä: 71
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| Tekijä: | Beine, M. |
| Otsikko: | Volatility expectations and asymmetric effects of direct interventions in the FX market |
| Lehti: | Journal of the Japanese and International Economies
2003 : MAR, VOL. 17:1, p. 55-80 |
| Asiasana: | CENTRAL BANKS EXCHANGE RATES VOLATILITY MODELS |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the author investigates the effects of central bank interventions (CBI) on ex-ante exchange rate volatility. The author measures volatility expectations by implied volatilities estimated from at-the-money currency options prices. Using a Markov switching model, the authors estimates the effects of CBI which depend on market conditions. The results suggest that the effects of CBI depend on the prevailing volatility regime. It is found that CBI on the DEM-USD market were not necessarily destabilizing after the Louvre Agreement when expected volatility was relatively high. The paper provides a substantial list of references on this subject. |
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