Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components

Sébastien Laurent, Michel Beine, Franz Palm

Research output: Contribution to journalArticle

Abstract

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we estimate the two major components of exchange rate volatility, the continuously varying component and a jump component. A small proportion of coordinated interventions affects the temporary (jump) part of the volatility process. Most of those coordinated operations are associated with an increase of the persistent (continuous) part of exchange rate volatility.
Original languageEnglish
Pages (from-to)201-223
Number of pages23
JournalInternational Journal of Finance and Economics
Volume12/2
Publication statusPublished - 2007

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Central bank intervention
Jump
Exchange rate volatility
Econometric methods
Realized volatility
Exchange rates
Proportion

Cite this

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abstract = "We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we estimate the two major components of exchange rate volatility, the continuously varying component and a jump component. A small proportion of coordinated interventions affects the temporary (jump) part of the volatility process. Most of those coordinated operations are associated with an increase of the persistent (continuous) part of exchange rate volatility.",
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Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components. / Laurent, Sébastien; Beine, Michel; Palm, Franz.

In: International Journal of Finance and Economics, Vol. 12/2, 2007, p. 201-223.

Research output: Contribution to journalArticle

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