Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables

Nikolaos Antonakakis

No 1002, Working Papers from University of Strathclyde Business School, Department of Economics

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 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 ndings are then discussed.

Keywords: Central bank interventions; Foreign exchange; Multivariate GARCH; Conditional correlations (search for similar items in EconPapers)
JEL-codes: C32 E58 F31 G15 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2010-02
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:str:wpaper:1002

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