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Intervention, exchange-rate volatility, and the stable paretian distribution

Author

Listed:
  • Michael L. Bagshaw
  • Owen F. Humpage

Abstract

A look at whether the United States' decision to cease intervention after March 1981 had a perceptible influence on the day-to-day behavior of exchange rates, using the stable paretian distribution.

Suggested Citation

  • Michael L. Bagshaw & Owen F. Humpage, 1986. "Intervention, exchange-rate volatility, and the stable paretian distribution," Working Papers (Old Series) 8608, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:8608
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    Citations

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    Cited by:

    1. Fatma Ozgu Serttas, 2018. "Infinite-Variance Error Structure in Finance and Economics," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 14-23, April.
    2. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2010. "U.S. foreign-exchange-market intervention during the Volcker-Greenspan era," Working Papers (Old Series) 1007, Federal Reserve Bank of Cleveland.
    3. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.

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