Central bank intervention and exchange rate volatility, its continuous and jump components

Michel Beine, Jerome Lahaye, Sébastien Laurent, Christopher Neely and Franz Palm

No 2006-031, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps.

Date: 2007
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)

Downloads: (external link)
http://research.stlouisfed.org/wp/more/2006-031/ (application/pdf)
http://research.stlouisfed.org/wp/2006/2006-031.pdf

Related works:
Journal Article: Central bank intervention and exchange rate volatility, its continuous and jump components (2007)
Working Paper: Central Bank intervention and exchange rate volatility: its continuous and jump components (2007)
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:fip:fedlwp:2006-031

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().