The 1920s currency markets represent one of the earliest recorded periods of central bank intervention. This paper uses a relatively new set of daily data for four currencies and finds the exchange rate returns have the widespread long memory property that is also consistent with today’s post Bretton Woods era. This paper quantifies the duration of the effectiveness of the very heavy intervention by the Bank of France on four exchange rates. The intervention is found to have direct effects on the French Franc spot rate, but not on market volatility. There is also some evidence that the intervention had moderate influence on a time dependant risk premium.
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Paper provided by East Asian Bureau of Economic Research in its series Finance Working Papers with number
159.
Length: 25 pages Date of creation: Apr 2002 Date of revision: Handle: RePEc:eab:financ:159
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions F31 - International Economics - - International Finance - - - Foreign Exchange
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