IDEAS home Printed from https://ideas.repec.org/p/tiu/tiucen/bb8b5e66-935c-47c4-93c9-aabd3e5e1481.html
   My bibliography  Save this paper

Accounting for Daily Bundesbank and federal reserve intervention : A friction model with a GARCH application

Author

Listed:
  • Almekinders, G.J.
  • Eijffinger, S.C.W.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Accounting for Daily Bundesbank and federal reserve intervention : A friction model with a GARCH application," Discussion Paper 1994-44, Tilburg University, Center for Economic Research.
  • Handle: RePEc:tiu:tiucen:bb8b5e66-935c-47c4-93c9-aabd3e5e1481
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Klein, Michael W., 1993. "The accuracy of reports of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 644-653, December.
    2. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    3. Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 231-247, May.
    4. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    5. Edison, H.J., 1993. "The Effectiveness of Central-Bank Intervention: A Survey of the Litterature after 1982," Princeton Studies in International Economics 18, International Economics Section, Departement of Economics Princeton University,.
    6. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM e583abfb-39f0-4c9d-8848-5, Tilburg University, School of Economics and Management.
    7. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM 3e0ae3fa-af29-4757-aecb-a, Tilburg University, School of Economics and Management.
    8. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    9. Eijffinger, S.C.W., 1991. "Empirical evidence on foreign exchange market intervention : Where do we stand?," Other publications TiSEM e280156a-07fa-4c3e-aa4f-6, Tilburg University, School of Economics and Management.
    10. Forbes, Shawn M. & Mayne, Lucille S., 1989. "A friction model of the prime," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 127-135, March.
    11. Almekinders, Geert J & Eijffinger, Sylvester C W, 1994. "Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?," Empirical Economics, Springer, vol. 19(1), pages 111-130.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Discussion Paper 1994-101, Tilburg University, Center for Economic Research.
    2. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Other publications TiSEM 9f9b4890-d5b8-4e2d-9b9a-0, Tilburg University, School of Economics and Management.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Almekinders, Geert J. & Eijffinger, Sylvester C. W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1365-1380, September.
    2. Lobo, Bento J. & Tufte, David, 1998. "Exchange Rate Volatility: Does Politics Matter?," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 351-365, April.
    3. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Discussion Paper 1994-101, Tilburg University, Center for Economic Research.
    4. Oscar Bajo-Rubio & Simón Sosvilla Rivero, 1993. "Teorías del tipo de cambio: una panorámica," Documentos de Trabajo del ICAE 9307, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2016. "On the Evolution of US Foreign-Exchange-Market Intervention: Thesis, Theory, and Institutions," NBER Chapters, in: Strained Relations: US Foreign-Exchange Operations and Monetary Policy in the Twentieth Century, pages 1-26, National Bureau of Economic Research, Inc.
    6. Brandner, Peter & Grech, Harald & Stix, Helmut, 2006. "The effectiveness of central bank intervention in the EMS: The post 1993 experience," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 580-597, June.
    7. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Other publications TiSEM 9f9b4890-d5b8-4e2d-9b9a-0, Tilburg University, School of Economics and Management.
    8. Suk-Joong Kim & Jeffrey Sheen, 2018. "The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 1, pages 3-41, World Scientific Publishing Co. Pte. Ltd..
    9. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
    10. Kim, Suk-Joong & Kortian, Tro & Sheen, Jeffrey, 2000. "Central bank intervention and exchange rate volatility -- Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 381-405, December.
    11. Pierdzioch, Christian, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy (IfW Kiel).
    12. Pontines, Victor, 2018. "Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 299-316.
    13. Mahalia Jackman, 2012. "Foreign exchange intervention in a small open economy with a long term peg," Economics Bulletin, AccessEcon, vol. 32(3), pages 2207-2219.
    14. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    15. Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
    16. Almekinders, G.J., 1994. "A Positive Theory of Central Bank Intervention," Other publications TiSEM 7515b9e9-04c0-459e-9adc-f, Tilburg University, School of Economics and Management.
    17. repec:ebl:ecbull:v:6:y:2007:i:29:p:1-8 is not listed on IDEAS
    18. Li, He & Zhang, Zhichao & Zhang, Chuanjie, 2017. "China’s intervention in the central parity rate: A Bayesian Tobit analysis," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 612-624.
    19. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
    20. Ronald McDonald & Xuxin Mao, 2016. "Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment," Working Papers 2016_06, Business School - Economics, University of Glasgow.
    21. repec:onb:oenbwp:y::i:55:b:1 is not listed on IDEAS
    22. Almekinders, G.J. & Eijffinger, S.C.W., 1992. "Daily Bundesbank and federal reserve intervention and the conditional variance tale in DM/$-returns," Research Memorandum FEW 554, Tilburg University, School of Economics and Management.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiucen:bb8b5e66-935c-47c4-93c9-aabd3e5e1481. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: http://center.uvt.nl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.