Central bank intervention and exchange rate volatility, its continuous and jump components
by Michel Beine
"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 decompose exchange rate volatility into two major components: a continuously varying component and jumps. Some coordinated interventions affect the temporary (jump) part of the volatility process. Most coordinated operations are associated with an increase in the persistent (continuous) part of exchange rate volatility"--Federal Reserve Bank of St. Louis web site.
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Central bank intervention and exchange rate volatility, its continuous and jump components
2006, Federal Reserve Bank of St. Louis
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in English
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Title from PDF file as viewed on 6/12/2006.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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