|
EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Kieler Arbeitspapiere, IfW >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/46696
|
| | |
| Title: | | What can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventions  |
| 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 |
| JEL: | | F31 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/46696
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|