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

Sébastien Laurent, Michel Beine, Franz Palm

    Résultats de recherche: Contribution à un journal/une revueArticle

    Résumé

    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.
    langue originaleAnglais
    Pages (de - à)201-223
    Nombre de pages23
    journalInternational Journal of Finance and Economics
    Volume12/2
    Etat de la publicationPublié - 2007

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