Quotation Antonakakis, Nikolaos. 2012. Official central bank interventions in the foreign exchange markets: a DCC approach with exogenous variables. Banks and Bank Systems 7 (2): 35-50.


RIS


BibTeX

Abstract

This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the 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 banks, namely the Federal Reserve, Bundesbank and Bank of Japan. The results of the existing literature are reappraised and refined. In particular, unilateral CBIs are found to be more successful than coordinated ones. The likely implications of these findings are then discussed

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Banks and Bank Systems
Language English
Title Official central bank interventions in the foreign exchange markets: a DCC approach with exogenous variables
Volume 7
Number 2
Year 2012
Page from 35
Page to 50
Reviewed? Y
URL http://businessperspectives.org/journals_free/bbs/2012/BBS_en_2012_02_antonakakis.pdf

Associations

People
Antonakakis, Nikolaos (Former researcher)
Organization
Institute for International Economics IN (Details)
Department of Economics DP (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5311 Public finance (Details)
Google Scholar: Search