EconPapers    
Economics at your fingertips  
 

Are Interventions Self Exciting?

Andreas Fischer () and Mathias Zurlinden

Open Economies Review, 2004, vol. 15, issue 3, 223-237

Abstract: The time pattern of official interventions on the foreign exchange market exhibits periods of intense activity followed by long spells of inaction. In this paper, we examine whether the time interval between successive intervention matters for future interventions. To capture the properties of intervention duration an ACD model is used. The data are daily observations of interventions by the Federal Reserve, the Bundesbank and the Swiss National Bank. The evidence finds that the intervention duration is highly persistent and that the hazard is time dependent.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://journals.kluweronline.com/issn/0923-7992/contents (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Are Interventions Self-Exciting? (1998) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:15:y:2004:i:3:p:223-237

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11079/PS2

Access Statistics for this article

Open Economies Review is currently edited by G.S. Tavlas

More articles in Open Economies Review from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2020-11-23
Handle: RePEc:kap:openec:v:15:y:2004:i:3:p:223-237