Are Interventions Self Exciting?
Andreas Fischer () and
Open Economies Review, 2004, vol. 15, issue 3, 223-237
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.
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Working Paper: Are Interventions Self-Exciting? (1998)
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