Résumé
This article assesses the impact of official FOREX interventions of the three
major central banks in terms of the dynamics of the currency components of
the major exchange rates over the period 1989 - 2003. We identify the currency
components of the mean and volatility processes of exchange rates using the
framework developed recently by Bos and Shephard (2006). Our results show
that, in general, concerted interventions tend to affect the dynamics of both
currency components of the exchange rate. In contrast, unilateral interventions
are found to primarily affect the currency of the central bank present in the
market. Our findings also emphasize a role for interventions conducted by these
central banks on other related FOREX markets.
langue originale | Anglais |
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Pages (de - à) | 153-183 |
Nombre de pages | 31 |
journal | Journal of Financial Econometrics |
Volume | 5/1 |
Etat de la publication | Publié - 2007 |