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.

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• Item metadata

  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:	09 Apr 2024 04:42
  URI:	https://strathprints.strath.ac.uk/id/eprint/67848