Template-Type: ReDIF-Paper 1.0
Author-Name: Nikolaos  Antonakakis
Author-Name-First: Nikolaos 
Author-Name-Last: Antonakakis
Author-Email: n.antonakakis@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Title: Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables
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.
Length: 41 pages
Creation-Date: 2010-02
Revision-Date: 
Publication-Status: 
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2010/10-02.pdf
File-Format: Application/pdf
Number: 1002
Classification-JEL: C32; E58; F31; G15
Keywords: Central bank interventions; Foreign exchange; Multivariate GARCH; Conditional correlations
Handle: RePEc:str:wpaper:1002