Official Central Bank Interventions in the Foreign Exchange Markets : A DCC Approach with Exogenous Variables

Antonakakis, Nikolaos (2010) Official Central Bank Interventions in the Foreign Exchange Markets : A DCC Approach with Exogenous Variables. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate official interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.

  • Item type:Monograph(Discussion paper)
    ID code:67848
    Dates:
    Date
    Event
    8 March 2010
    Published
    Notes:Published as a paper within the Discussion Papers in Economics, No. 10-02 (2010)
    Subjects:Social Sciences > Finance
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:14 May 2019 15:14
    Last modified:11 Nov 2024 16:04
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/67848
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