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Title:What can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventions PDF Logo
Authors:Döpke, Jörg
Pierdzioch, Christian
Issue Date:1999
Series/Report no.:Kiel Working Papers 955
Abstract:Using daily Bundesbank foreign exchange market intervention data, we employ a multinomial logit approach to estimate an intervention reaction function for the German Central Bank using options implied volatilities and the deviation of the exchange rate from its target level as explanatory variables. The empirical results underscore that distinguishing between positive and negative interventions improves the statistical properties of the Bundesbank reaction function. As the Bundesbank is often being seen as a paragon for the European Central Bank (ECB), we also discuss the implications of our results for the intervention policy of the ECB.
Subjects:Multinomial logit model
exchange rate volatility
central bank foreign exchange market interventions
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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